The first passage problem for stable linear delay equations perturbed by power law Lévy noise

DOI10.1063/1.5097061zbMATH Open1416.34062arXiv1903.10975OpenAlexW3105850785WikidataQ91559685 ScholiaQ91559685MaRDI QIDQ5227582FDOQ5227582

Authors: Michael Högele, Ilya Pavlyukevich 

Publication date: 6 August 2019

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Abstract: This article studies a linear scalar delay differential equation subject to small multiplicative power tail L'evy noise. We solve the first passage (the Kramers) problem with probabilistic methods and discover an asymptotic loss of memory in this non-Markovian system. Furthermore, the mean exit time increases as the power of the small noise amplitude, whereas the pre-factor accounts for memory effects. In particular, we discover a non-linear delay-induced exit acceleration due to a non-normal growth phenomenon. Our results are illustrated in the well-known linear delay oscillator driven by $alpha$-stable L'evy flights.

Full work available at URL: https://arxiv.org/abs/1903.10975

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Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic functional-differential equations (34K50)

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