Campuses:

First exit times of solutions of SDEs driven by Levy noise with heavy tails

Thursday, October 25, 2012 - 9:00am - 9:50am
Keller 3-180
Ilya Pavlyukevich (Friedrich-Schiller-Universität)
We discuss the behaviour of dynamical systems perturbed by
small Levy noise with heavy tails. In particular we determine the
asymptotics of first exit times for systems with a) additive noise with
power tails, b) additive noise with sub- and super-exponential tails;
c) multiplicative noises of Ito, Stratonovich and Marcus type. As
examples we consider $\alpha$-stable Levy ratchet and a motion of a
charged Levy particle in an external magnetic field.
MSC Code: 
70G60