Non-uniqueness of the first passage time density of Lévy random processes

DOI10.1088/0305-4470/37/46/L02MaRDI QIDQ4660394zbMATH OpenOpenAlexFDO

Authors Ralf Metzler, Igor M. Sokolov

Publication date 21 March 2005

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

Full work available at URL https://doi.org/10.1088/0305-4470/37/46/l02

zbMATH Keywords

Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25)

Recommendations

• Asymptotic behaviour of first passage time distributions for Lévy processes
• Convolution equivalent Lévy processes and first passage times
• Asymptotics for the first passage times of Lévy processes and random walks
• First passage time law for some Lévy processes with compound Poisson: existence of a density
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process
• Exponential moments of first passage times and related quantities for Lévy processes
• Joint distribution of first-passage time and first-passage area of certain Lévy processes
• Nondifferentiability of the time constants of first-passage percolation
• Cramér asymptotics for finite time first passage probabilities of general Lévy processes
• First-passage-time densities for time-non-homogeneous diffusion processes

Cited in

(15)

• Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description
• On using random walks to solve the space-fractional advection-dispersion equations
• A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
• Lévy stable distributions via associated integral transform
• Lévy diffusion: the density versus the trajectory approach
• Non-Markovian Lévy dynamics and the effect of the underlying time correlation
• Diffusive behavior and the modeling of characteristic times in limit order executions
• First passage and arrival time densities for Lévy flights and the failure of the method of images
• Multimodal stationary states in symmetric single-well potentials driven by Cauchy noise
• Stationary states for underdamped anharmonic oscillators driven by Cauchy noise
• First passage leapovers of Lévy flights and the proper formulation of absorbing boundary conditions
• Fractional advection diffusion asymmetry equation, derivation, solution and application
• Generalized Fokker-Planck equation for superstatistical systems
• Boundary value problems for multi-term fractional differential equations
• Some fundamental aspects of Lévy flights

This page was built for publication: Non-uniqueness of the first passage time density of Lévy random processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4660394)