id: 05992883
dt: j
an: 05992883
au: Chen, Huiqin; Duan, Jinqiao; Li, Xiaofan; Zhang, Chengjian
ti: A computational analysis for mean exit time under non-Gaussian Lévy
    noises.
so: Appl. Math. Comput. 218, No. 5, 1845-1856 (2011).
py: 2011
pu: Elsevier Science Publishing Co. (North-Holland), New York
la: EN
cc: 
ut: stochastic dynamical systems; non-Gaussian Lévy motion; Lévy jump
    measure; first exit time; numerical examples
ci: 
li: doi:10.1016/j.amc.2011.06.068
ab: Summary: Complex dynamical systems are often subject to non-Gaussian random
    fluctuations. The exit phenomenon, i.e., escaping from a bounded domain
    in the state space, is an impact of randomness on the evolution of
    these dynamical systems. The existing work is about asymptotic
    estimates on the mean exit time when the noise intensity is
    sufficiently small.  In the present paper, however, the authors analyze
    the mean exit time for arbitrary noise intensity, via numerical
    investigation. The mean exit time for a dynamical system, driven by a
    non-Gaussian, discontinuous (with jumps), $α$-stable Lévy motion, is
    described by a differential equation with nonlocal interactions. A
    numerical approach for solving this nonlocal problem is proposed. A
    computational analysis is conducted to investigate the relative
    importance of jump measure, diffusion coefficient and non-Gaussianity
    in affecting the mean exit time.
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