Mean exit time for stochastic dynamical systems driven by tempered stable Lévy fluctuations

Abstract

We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered Lévy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme to compute and solve the mean exit time associated with the one dimensional stochastic system. Secondly, we extend the analytical and numerical results to two dimensional case: horizontal-vertical and isotropic case. Finally, we verify the effectiveness of the presented schemes with numerical experiments in several examples.