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

Zan, Wanrong; Xu, Yong; Metzler, Ralf; Kurths, Jürgen

doi:10.1016/j.jcp.2021.110264

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

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Zan, Wanrong
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Xu, Yong
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Metzler, Ralf
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Kurths, Jürgen
Potsdam Institute for Climate Impact Research;

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Zitation

Zan, W., Xu, Y., Metzler, R., Kurths, J. (2021): First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method. - Journal of Computational Physics, 435, 110264.
https://doi.org/10.1016/j.jcp.2021.110264

Zitierlink: https://publications.pik-potsdam.de/pubman/item/item_25807

Zusammenfassung

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.