Survival probability of random walks and Lévy flights on a semi-infinite line

DOI10.1088/1751-8121/AA8D28MaRDI QIDQ4597593zbMATH OpenOpenAlexFDO

Authors Satya N. Majumdar, Philippe Mounaix, Grégory Schehr

Publication date 13 December 2017

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

Full work available at URL https://arxiv.org/abs/1704.05940

zbMATH Keywords

persistencerandom walksLévy flight

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Abstract: We consider a one-dimensional random walk (RW) with a continuous and symmetric jump distribution, $f(eta)$, characterized by a L'evy index $muin(0,2]$, which includes standard random walks ($mu=2$) and L'evy flights ($0<mu<2$). We study the survival probability, $q(x_0,n)$, representing the probability that the RW stays non-negative up to step $n$, starting initially at $x_{0}geq0$. Our main focus is on the $x_0$-dependence of $q(x_0,n)$ for large $n$. We show that $q(x_0,n)$ displays two distinct regimes as $x_0$ varies: (i) for $x_0=O(1)$ ("quantum regime"), the discreteness of the jump process significantly alters the standard scaling behavior of $q(x_0,n)$ and (ii) for $x_0=O(n^{1/mu})$ ("classical regime") the discrete-time nature of the process is irrelevant and one recovers the standard scaling behavior (for $mu=2$ this corresponds to the standard Brownian scaling limit). The purpose of this paper is to study how precisely the crossover in $q(x_0,n)$ occurs between the quantum and the classical regime as one increases $x_0$.

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Cited in

(13)

• Asymmetric Lévy flights in the presence of absorbing boundaries
• Universal survival probability for a correlated random walk and applications to records
• Competition between Lévy jumps and continuous drift
• Extreme value statistics of correlated random variables: a pedagogical review
• Universal order statistics for random walks \& Lévy flights
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• First passage time moments of asymmetric Lévy flights
• Revisiting Lévy flights on bounded domains: a Fock space approach

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