对称Levy乘性噪声下平均首次逃逸时问题的计算分析
A Computational Analysis for First Mean Exit Time under Symmetrical Levy Multiplicative Noise

作者: 陈慧琴 :江汉大学数学与计算机科学与技术学院,武汉;

关键词: 随机动力系统非高斯Levy运动跳测度首次逃离时Stochastic Dynamical Systems Non-Gaussian Levy Motion Levy Jump Measure First Exit Time

摘要:
复杂的动力系统常常受到非高斯的随机扰动。首次逃离现象,即从一个状态空间的有界区域中逃逸出来,对动力系统的随机演化有很大的影响。在本文中,我通过计算分析了在乘性Levy噪声下的首次逃离时问题。一个数值的方法去求解这个非局部的问题,计算分析出不同的跳测度系数和值对系统的首次逃离时间的影响。
>Complex dynamical systems are often subject to non-Gaussian random fluctuations. The exit phe- nomenon, i.e., escaping from a bounded domain in state space, has a great impact on the stochastic evolution of such dynamical systems. In the present paper, the author analyzes mean exit time for arbitrary noise inten- sity under multiplicative noise, via numerical investigation. A numerical approach for solving this non-local problem is proposed. A computational analysis is conducted to investigate the relative importance of jump measure coefficient and the effect of value on first exit time.

文章引用: 陈慧琴 (2013) 对称Levy乘性噪声下平均首次逃逸时问题的计算分析。 应用数学进展, 2, 141-146. doi: 10.12677/AAM.2013.24018

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