Mean exit time for stochastic dynamical systems driven by tempered stable L\'evy fluctuations
Dynamical Systems
2019-10-22 v2 Probability
Abstract
We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered L\'evy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme to compute and solve the mean exit time associated with the one dimensional stochastic system. Secondly, we extend the analytical and numerical results to two dimensional case: horizontal-vertical and isotropic case. Finally, we verify the effectiveness of the presented schemes with numerical experiments in several examples.
Cite
@article{arxiv.1811.01634,
title = {Mean exit time for stochastic dynamical systems driven by tempered stable L\'evy fluctuations},
author = {Yanjie Zhang and Xiao Wang and Jinqiao Duan},
journal= {arXiv preprint arXiv:1811.01634},
year = {2019}
}