Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises

Abstract

The mean exit time and escape probability are deterministic quantities that can quantify dynamical behaviors of stochastic differential equations with non-Gaussian α-stable type Lévy motions. Both deterministic quantities are characterized by differential–integral equations (i.e., differential equations with nonlocal terms) but with different exterior conditions. A convergent numerical scheme is developed and validated for computing the mean exit time and escape probability for two-dimensional stochastic systems with rotationally symmetric α-stable type Lévy motions. The effects of drift, Gaussian noises, intensity of jump measure and domain sizes on the mean exit time are discussed. The difference between the one-dimensional and two-dimensional cases is also presented.