First passage and arrival time densities for Lévy flights and the failure of the method of images

DOI10.1088/0305-4470/36/41/L01MaRDI QIDQ4468569zbMATH OpenOpenAlexFDO

Authors Ralf Metzler, Leonid V. Tanatarov, Aleksei V. Chechkin, V. Yu. Gonchar, Joseph Klafter

Publication date 10 June 2004

Published in Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0309449

zbMATH Keywords

method of imagesfirst passage time densityfirst arrival timeLévy flights

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Continuous-time Markov processes on general state spaces (60J25) Other physical applications of random processes (60K40)

Abstract: We discuss the first passage time problem in the semi-infinite interval, for homogeneous stochastic Markov processes with L{'e}vy stable jump length distributions $lambda(x)simel{l}^{alpha}/|x{|}^{1+alpha}$ ($|x|ggell$), namely, L{'e}vy flights (LFs). In particular, we demonstrate that the method of images leads to a result, which violates a theorem due to Sparre Andersen, according to which an arbitrary continuous and symmetric jump length distribution produces a first passage time density (FPTD) governed by the universal long-time decay $sim{t}^{-3/2}$. Conversely, we show that for LFs the direct definition known from Gaussian processes in fact defines the probability density of first arrival, which for LFs differs from the FPTD. Our findings are corroborated by numerical results.

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