Статья

First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method

W. Zan, Y. Xu, R. Metzler, J. Kurths,
2021

We study the first-passage problem for a process governed by a stochastic differential equation (SDE) driven simultaneously by both parametric Gaussian and Lévy white noises. We extend the path integral (PI) method to solve the SDE with this combined noise input and the corresponding fractional Fokker-Planck-Kolmogorov equations. Then, the PI solutions are modified to analyze the first-passage problem. Finally, numerical examples based on Monte Carlo simulations verify the extension of the PI method and the modification of the PI solutions. The detailed effects of the system parameters on the first-passage problem are analyzed.

Цитирование

Похожие публикации

Документы

Источник

Версии

  • 1. Version of Record от 2021-06-15

Метаданные

Об авторах
  • W. Zan
    Northwestern Polytechnical University
  • Y. Xu
    Northwestern Polytechnical University, Northwestern Polytechnical University
  • R. Metzler
    Universität Potsdam
  • J. Kurths
    Potsdam Institut fur Klimafolgenforschung, Humboldt-Universität zu Berlin, Saratov State University
Название журнала
  • Journal of Computational Physics
Том
  • 435
Финансирующая организация
  • Deutsche Forschungsgemeinschaft
Номер гранта
  • CX202045
Тип документа
  • journal article
Тип лицензии Creative Commons
  • CC BY
Правовой статус документа
  • Свободная лицензия
Источник
  • scopus