Macroscopic Quantities for the Stochastic Process Governed by an SDE in 2D with alpha-stable Lévy Noise

Time

-

Locations

RE 103

 

Host

Department of Applied Mathematics

 

 

 

 

 

Description

 

 

 

 

The behavior of a stochastic differential equation, i.e. a differential equation with a noise component, can be analyzed by determining quantities such as

• mean exit time
• escape probability
• transition probability density function (found using the Fokker-Plank equation)

When the noise involved is Brownian, these quantities are well-studied; however, when the noise is non-Gaussian, the deterministic equations governing them are often non-local. We consider the case of a general SDE with alpha-stable Lévy motion, and formulate an approach to numerically approximate the mean exit time using a modified trapezoidal rule.

Event Topic

Stochastic & Multiscale Modeling and Computation

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