Mean exit time for stochastic dynamical systems driven by tempered stable Levy fluctuations
Mean exit time for stochastic dynamical systems driven by tempered stable Levy fluctuations
复制标题
由稳定 Levy 波动驱动的随机动力系统的平均退出时间
DOI：
10.1016/j.aml.2019.106112
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发表时间：
2020
影响因子：
3.7
通讯作者：
Duan Jinqiao
中科院分区：
文献类型：
--
作者：
Zhang Yanjie;Wang Xiao;Duan Jinqiao
我们用平均退出时间来量化由调质lsamvy波动驱动的随机动力系统的宏观动力学行为，这是一类非局部椭圆方程的解。首先，我们构造了一种新的数值格式来计算和求解一维随机系统的平均退出时间。其次，我们将解析和数值结果推广到二维情况：水平-垂直和各向同性情况。最后，通过几个算例的数值实验验证了所提方案的有效性。
We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered Lévy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme to compute and solve the mean exit time associated with the one dimensional stochastic system. Secondly, we extend the analytical and numerical results to two dimensional case: horizontal–vertical and isotropic case. Finally, we verify the effectiveness of the presented schemes with numerical experiments in several examples.