AN INTERMEDIATE REGIME FOR EXIT PHENOMENA DRIVEN BY NON-GAUSSIAN LÉVY NOISES

DOI10.1142/S0219493708002469zbMath1166.60039arXiv0808.1085OpenAlexW2963240234MaRDI QIDQ3548304

Zhihui Yang, Jin-qiao Duan

Publication date: 11 December 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.1085

zbMATH Keywords

heavy tailssmall noise limitfirst exit timestochastic dynamical systemsLévy jump measurenon-Gaussian Lévy processes

Mathematics Subject Classification ID

Large deviations (60F10) Sample path properties (60G17) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Quantifying Model Uncertainties in Complex Systems ⋮ First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise ⋮ A computational analysis for mean exit time under non-Gaussian Lévy noises ⋮ Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises

Cites Work

• Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
• First exit times of SDEs driven by stable Lévy processes
• Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises
• Lévy Processes and Stochastic Calculus
• Stochastic Partial Differential Equations with Levy Noise
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