Numerical Method for Mean Exit Time Driven by Asymmetric Lévy Motion

Abstract: Non-Gaussian stochastic dynamical systems are found many applications in economics, telecommunications and physics. The stable Lévy process has ‘heavy tail’ which decays polynomially and useful for some special model, such as earthquakes or market crashes. A convergent numerical scheme is developed for computing the mean exit time with 1-dimensional asymmetric alpha-stable Lévy motion. The effects of drift, Gaussian noises, intensity of jump measure and skewness parameter on the mean exit time are discussed.

Event Topic

Stochastic & Multiscale Modeling and Computation