Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion

DOI10.1016/j.amc.2018.05.038zbMath1427.60085arXiv1702.00600OpenAlexW2587572234MaRDI QIDQ2335686

Renming Song, Xiaofan Li, Xiao Wang, Jin-qiao Duan

Publication date: 15 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00600

zbMATH Keywords

integro-differential equationescape probabilityfirst exit timestochastic dynamical systemsasymmetric Lévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

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