First passage and arrival time densities for Lévy flights and the failure of the method of images
One-dimensional Lévy flights are Markov processes in which extremely long excursions can occur with appreciable probability. They can be described in terms of continuous time random walks with long-tailed jump length distributions \(\lambda(x)\sim 1/| x|^{1+\alpha}\) [see \textit{U. Frisch} and \textit{H. Frisch}, in: Lévy flights and related topics in physics. Lect. Notes Phys. 450, 262--268 (1995; Zbl 0829.60061)]. Let \(p(t)\) be the first passage time density of a random process where the particle is removed when it moves to the left of the point \(x_0=0\). For a general presentation see \textit{B. D. Hughes} [``Random walks and random environments (1995; Zbl 0820.60053)]. Let \(p_{\text{fa}}(t)\) be the probability density function of first arrival time (at a sink where it is annihilated). That is, \(-p_{\text{fa}}(t)\) is the derivative of the survival probability. The main result of this paper is that for Lévy flights, the first passage time density differs from the probability density function of first arrival time: for \(1<\alpha<2\), as \(t\to \infty\), \(p(t)\sim t^{-3/2}\) while \(p_{\text{fa}}(t)\sim t^{1/2-\alpha}\). For \(\alpha = 2 \), which corresponds to a Gaussian process, \(p(t)\) and \(p_{\text{fa}}(t)\) are both equivalent to \(t^{-3/2}\). This can be proved by the method of images which is a powerful tool for Gaussian diffusions. The second result of this paper is that according to the method of images, we would have \(p_{\text{Im}}(t)\sim t^{-1-1/\alpha}\) which is the correct decay only for \(\alpha=2\).
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