Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises.
Xiao WangJinqiao DuanXiaofan LiYuanchao LuanPublished in: Appl. Math. Comput. (2015)
Keyphrases
- dynamical systems
- numerical methods
- differential equations
- approximation schemes
- dynamic systems
- numerical solution
- nonlinear dynamical systems
- probability distribution
- state space
- phase space
- linear systems
- linear dynamical systems
- qualitative simulation
- ordinary differential equations
- partial differential equations
- agent environment
- finite difference method
- stochastic processes
- object recognition
- level set method
- non stationary
- linear quadratic
- monte carlo
- sample path
- markov chain