Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance

DOI10.1016/j.physd.2020.132815zbMath1487.60106arXiv1912.05476OpenAlexW3115440919WikidataQ115341688 ScholiaQ115341688MaRDI QIDQ2115707

Johnny Zhong, Huaizhong Zhao, Chunrong Feng

Publication date: 21 March 2022

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.05476

zbMATH Keywords

stochastic resonancelocally Lipschitztime-inhomogeneous Markov processesexpected exit timeFeynman-Kac dualitytime-periodic parabolic partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fokker-Planck equations (35Q84)

Related Items (4)

Random periodic processes, periodic measures and ergodicity ⋮ Existence of geometric ergodic periodic measures of stochastic differential equations ⋮ Periodic measures and Wasserstein distance for analysing periodicity of time series datasets ⋮ Ergodic numerical approximation to periodic measures of stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Periodic solutions of Fokker-Planck equations
• The Ornstein-Uhlenbeck process as a model for neuronal activity. I. Mean and variance of the firing time
• On Malliavin's proof of Hörmander's theorem
• Stochastic methods. A handbook for the natural and social sciences
• Weak uniqueness of Fokker-Planck equations with degenerate and bounded coefficients
• Computation of time-periodic solutions of the Benjamin-Ono equation
• Semigroups of linear operators and applications to partial differential equations
• On the moments of the firing interval of the diffusion approximated model neuron
• Stochastic resonance in neuron models
• Controllability methods for the computation of time-periodic solutions; application to scattering
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• The exit problem for diffusions with time-periodic drift and stochastic resonance
• The Fokker-Planck equation. Methods of solutions and applications.
• Well posedness of Fokker-Planck equations for generators of time-inhomogeneous Markovian transition probabilities
• Random periodic processes, periodic measures and ergodicity
• Stochastic processes in cell biology
• Fokker-Planck and Fortet equation-based parameter estimation for a leaky integrate-and-fire model with sinusoidal and stochastic forcing
• Existence of periodic probability solutions to Fokker-Planck equations with applications
• Strongly degenerate time inhomogeneous SDEs: densities and support properties. Application to Hodgkin-Huxley type systems
• Drift estimation for a periodic mean reversion process
• Multidimensional diffusion processes.
• Kramers' law: Validity, derivations and generalisations
• Fokker–Planck–Kolmogorov Equations
• Existence and Uniqueness of Solutions to Fokker–Planck Type Equations with Irregular Coefficients
• Adjoint Sensitivity Analysis for Differential-Algebraic Equations: The Adjoint DAE System and Its Numerical Solution
• A Theory of Stochastic Resonance in Climatic Change
• A random dynamical systems perspective on stochastic resonance
• Stochastic Processes and Applications
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• The volatility of temperature and pricing of weather derivatives
• Stochastic resonance: Theory and numerics
• Brownian motion in a field of force and the diffusion model of chemical reactions
• Escape probability and mean residence time in random flows with unsteady drift
• Stochastic resonance in two-state Markov chains
• An introduction to the adjoint approach to design

This page was built for publication: Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance