Dynamic Systems Driven by Poisson/Lévy White Noise

DOI10.1007/978-94-010-0179-3_28zbMATH Open1061.60057OpenAlexW130576774MaRDI QIDQ4650497

Gennady Samorodnitsky, Mircea D. Grigoriu

Publication date: 11 February 2005

Published in: Solid Mechanics and Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-94-010-0179-3_28

zbMATH Keywords

nonlinear systemsMonte Carlo simulationstochastic stabilityLyapunov exponentmultiplicative noiseadditive noiseItô formula for semimartingalesHill estimates for the tail of a distributionPoisson and Lévy non-Gaussian white noise processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40) Ordinary differential equations and systems with randomness (34F05)

Related Items (2)

Transition path properties for one-dimensional systems driven by Poisson white noise ⋮ On random dynamical systems generated by white noise time change of deterministic dynamical systems

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