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math.PR2019★ 8 cited
Expected Exit Time for Time-Periodic Stochastic Differential Equations and Applications to Stochastic Resonance
Chunrong Feng, Huaizhong Zhao, Johnny Zhong
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This…
math.PR2019
Existence of Geometric Ergodic Periodic Measures of Stochastic Differential Equations
Chunrong Feng, Huaizhong Zhao, Johnny Zhong
Periodic measures are the time-periodic counterpart to invariant measures for dynamical systems and can be used to characterise the long-term periodic behaviour of stochastic syste…