Mean Exit Time and Escape Probability For Dynamical Systems Driven by Levy Noise

Stochastic differential equations (SDEs) driven by non-Gaussian Levy noises have attracted much attention recently, the authors studied a scalar SDE driven by a non-Gaussian Levy motion, and numerically investigate mean exit time and escape probability for arbitrary noise intensity in one dimensional case. In the present thesis, we utilize a different strategy to explore a numerical method for the problem in two dimensional case.

Event Topic

Stochastic & Multiscale Modeling and Computation