Computing probability density of the first passage time for state transition in stochastic dynamical systems driven by Brownian motions: a singular integral method
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Publication:6543702
DOI10.1063/5.0180511zbMATH Open1544.70022MaRDI QIDQ6543702
Fang Yang, Thomas W. Sun, Xu Sun
Publication date: 25 May 2024
Published in: Chaos (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Bifurcations and instability for nonlinear problems in mechanics (70K50)
Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- A guide to first-passage processes
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- The influences of correlated spatially random perturbations on first passage time in a linear-cubic potential
- Elements of Nonequilibrium Statistical Mechanics
- The tipping times in an Arctic sea ice system under influence of extreme events
- On the abrupt change of the maximum likelihood state in a simplified stochastic thermohaline circulation system
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