Simulated annealing for Levy-driven jump-diffusions

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:118

Article

Pavlyukevich, Ilya

关键词: non-Gaussian stable Levy process;    jump-diffusion;    heavy tail;    metastability;    extreme events;    first exit time;    large deviations;    simulated annealing;    cooling rate;   

DOI  :  10.1016/j.spa.2007.07.012

来源: Elsevier

【 摘 要 】

We consider a one-dimensional dynamical system driven by a vector field - U', where U is a multi-well potential satisfying some regularity conditions. We perturb this dynamical system by a stable symmetric non-Gaussian Levy process whose scale decreases as a power function of time. It turns out that the limiting behaviour of the perturbed dynamical system is different for slow and fast decrease rates of the noise intensity. As opposed to the well-studied Gaussian case, the support of the limiting law is not located in the set of global minima of U. (C) 2007 Elsevier B.V. All rights reserved.

【 授权许可】

Free