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Zan, W. [Author]; Xu, Y. [Author]; Metzler, R. [Author]; Kurths, J. [Author]

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

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  • Media type: E-Article
  • Title: First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method
  • Contributor: Zan, W. [Author]; Xu, Y. [Author]; Metzler, R. [Author]; Kurths, J. [Author]
  • Published: Publication Database PIK (Potsdam Institute for Climate Impact Research), 2021-03-04
  • Published in: Journal of Computational Physics
  • Language: Not determined
  • DOI: https://doi.org/10.1016/j.jcp.2021.110264
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: 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.