First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method

DOI10.1016/j.jcp.2021.110264OpenAlexW3135056300WikidataQ115350082 ScholiaQ115350082MaRDI QIDQ2122262

Ralf Metzler, Wanrong Zan, Yong Xu, Juergen Kurths

Publication date: 6 April 2022

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2021.110264

zbMATH Keywords

stochastic differential equationpath integral methodMonte Carlo simulationfirst-passage problemfractional Fokker-Planck-Kolmogorov equationcombined parametric Gaussian and Lévy white noises

Mathematics Subject Classification ID

Markov processes (60Jxx) Stochastic processes (60Gxx) Time-dependent statistical mechanics (dynamic and nonequilibrium) (82Cxx)

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