First exit and Dirichlet problem for the nonisotropic tempered \alpha-stable processes

MaRDI QIDQ6312280zbMATH OpenFDO

Authors Xing Liu, Weihua Deng

Publication date 8 January 2019

Abstract: This paper discusses the first exit and Dirichlet problems of the nonisotropic tempered $alpha$-stable process $X_t$. The upper bounds of all moments of the first exit position $left|X_{a{u}_D}ight|$ and the first exit time $a{u}_D$ are firstly obtained. It is found that the probability density function of $left|X_{a{u}_D}ight|$ or $a{u}_D$ exponentially decays with the increase of $left|X_{a{u}_D}ight|$ or $a{u}_D$, and $mathrmEleft[a{u}_{D}ight]simleft|mathrmEleft[X_{a{u}_D}ight]ight|$, $mathrmEleft[a{u}_{D}ight]simmathrmEleft[left|X_{a{u}_D}-mathrmEleft[X_{a{u}_D}ight]ight{|}^{2}ight]$. Since $mathrm{Delta}_m^{alpha/2,lambda}$ is the infinitesimal generator of the anisotropic tempered stable process, we obtain the Feynman-Kac representation of the Dirichlet problem with the operator $mathrm{Delta}_m^{alpha/2,lambda}$. Therefore, averaging the generated trajectories of the stochastic process leads to the solution of the Dirichlet problem, which is also verified by numerical experiments.

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