如何模拟雷维飞行在一个的潜力:一个明确的分割数值方案
I Pavlyukevich1, O Aryasova1, A Chechkin2
1Institute of Mathematics, Friedrich Schiller University Jena, Inselplatz 5, 07743 Jena, Germany.
Chaos (Woodbury, N.Y.)
|December 22, 2025
概括
我们开发了一种数值方法来模拟带有重尾噪声的随机微分方程,防止溶液爆炸并准确地捕捉时刻. 这种方法非常适合在复杂潜力中建模Lévy飞行.
科学领域:
- 数字分析 数字分析
- 随机过程是指随机的过程.
- 计算物理学的计算物理.
背景情况:
- 随机微分方程 (SDEs) 对于模拟具有固有的随机性系统至关重要.
- 重尾雷维噪声引入了标准高斯过程无法捕获的复杂动态.
- 模拟超线性漂移和莱维噪声的SDEs带来了重大的数值挑战,包括潜在的解决方案爆炸.
研究的目的:
- 开发一个有效的显式数值方案来模拟具有特定挑战性特征的SDEs.
- 为了确保数值方案防止溶液爆炸,并准确地捕获有限时刻.
- 验证该方案在复制高斯噪声下高斯尾部时刻方面的性能,以及其适用于Lévy航班的适用性.
主要方法:
- 一个明确的数值方案被设计为SDEs与限制超线性漂移.
- 该方案结合了乘法重尾雷维噪声.
- 该方法侧重于稳定性和准确的时刻估计.
主要成果:
- 拟议的方案有效地防止了溶液爆炸.
- 它准确地捕捉了解决方案的所有有限时刻.
- 在高斯噪声的情况下,它正确地重现了亚高斯尾部时刻.
结论:
- 数值方案为模拟超线性漂移和重尾雷维噪声的SDEs提供了强大的工具.
- 它特别适合在的潜在景观中近似列维航班的统计时刻.
- 这种方法提高了复杂的随机系统的模拟精度.
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