First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise

DOI10.1007/s10955-010-0041-6zbMath1202.37074OpenAlexW2156877713MaRDI QIDQ609627

Peter Imkeller, Michael Stauch, Ilya Pavlyukevitch

Publication date: 1 December 2010

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

Full work available at URL: https://doi.org/10.1007/s10955-010-0041-6

zbMATH Keywords

Lévy processfirst exit timeperturbed dynamical systemLévy flightexit time lawmultifractal noise

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)

Related Items (5)

Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance ⋮ FIRST EXIT TIMES OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTIPLICATIVE LÉVY NOISE WITH HEAVY TAILS ⋮ The Exit Problem from a Neighborhood of the Global Attractor for Dynamical Systems Perturbed by Heavy-Tailed Lévy Processes ⋮ Metastability in a class of hyperbolic dynamical systems perturbed by heavy-tailed Lévy type noise ⋮ The phase transition in a bistable Duffing system driven by Lévy noise

Cites Work

• First exit times for Lévy-driven diffusions with exponentially light jumps
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• AN INTERMEDIATE REGIME FOR EXIT PHENOMENA DRIVEN BY NON-GAUSSIAN LÉVY NOISES
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• Lévy Processes and Stochastic Calculus
• Metastable behaviour of small noise Lévy-Driven diffusions
• On modelling physical systems with stochastic models: diffusion versus Lévy processes
• Brownian motion in a field of force and the diffusion model of chemical reactions
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