Loading Events

« All Events

  • This event has passed.

Colloquium – Xiaofan Li, Illinois Institute of Technology

April 23, 2019 @ 11:00 am - 12:00 pm

Title: Numerical simulations of macroscopic quantities for stochastic differential equations with alpha-stable processes

Abstract: The mean first exit time, escape probability and transitional probability density are utilized to quantify dynamical behaviors of stochastic differential equations with non-Gaussian, $\alpha$-stable type L\’evy motions. Taking advantage of the Toeplitz matrix structure of the time-space discretization, a fast and accurate numerical algorithm is proposed to simulate the nonlocal Fokker-Planck equations on either a bounded or infinite domain. Under a specified condition, the scheme is shown to satisfy a discrete maximum principle and to be convergent.


April 23, 2019
11:00 am - 12:00 pm
Event Categories:
Event Tags:


346 Gordon Palmer Hall
505 Hackberry Lane
Tuscaloosa, AL 35487 United States
+ Google Map