Path integral solutions of the governing equation of SDEs excited by Lévy white noise

DOI10.1016/J.JCP.2019.05.023zbMath1452.65021OpenAlexW2945114464MaRDI QIDQ2222274

Wanrong Zan, Wantao Jia, Yong Xu, Juergen Kurths

Publication date: 26 January 2021

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2019.05.023

zbMATH Keywords

finite difference methodpath integral methodMonte Carlo simulation\(\alpha\)-stable Lévy white noisespace fractional FPK equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Fractional partial differential equations (35R11)

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