Nonlocal PDEs & Non-Gaussian Stochastic Dynamics

Jinqiao Duan
Institute for Pure and Applied Mathematics
IPAM Associate Director

Gaussian processes, such as Brownian motion, have been widely used in modeling fluctuations, while some complex phenomena involve non-Gaussian Levy noise. Thus dynamical systems driven by non-Gaussian noise have attracted considerable attention recently. At certain ‘macroscopic’ level, non-Gaussianity of the noise manifests as nonlocality (or nonlocal operators in the Fokker-Planck equations).
The speaker presents recent work on escape probability, mean exit time, bifurcation and random invariant manifolds for non-Gaussian stochastic dynamical systems. The differences in dynamics under Gaussian and non-Gaussian noises are highlighted, theoretically or numerically.

Presentation (PDF File)

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