Deterministic Methods for Stochastic Dynamics
- 4:30PM at UNIV 103
- Prof. Jinqiao Duan, Illinois Institute of Technology
- Deterministic Methods for Stochastic Dynamics
Dynamical systems arising in engineering and science are often subject to random fluctuations. The noisy fluctuations may be Gaussian or non-Gaussian, which are modeled by Brownian motion or α-stable Levy motion, respectively. Non-Gaussianity of the noise manifests as nonlocality at a “macroscopic” level. Stochastic dynamical systems with non-Gaussian noise (modeled by α-stable Levy motion) have attracted a lot of attention recently. The non-Gaussianity index α is a significant indicator for various dynamical behaviors.
The speaker will overview recent advances in non-Gaussian stochastic dynamical systems, highlighting deterministic and numerical methods, including analysis and simulation of mean exit time and escape probability. Some materials are taken from the speaker's new book “An Introduction to Stochastic Dynamics” (Cambridge University Press, 2015) .