FIRST EXIT TIME OF A LEVY FLIGHT FROM A BOUNDED REGION IN RN

被引：0

作者：

Kim, Yoora ^{[1
]}

Koprulu, Irem ^{[2
]}

Shroff, Ness B. ^{[2
,3
]}

机构：

[1] Univ Ulsan, Dept Math, Ulsan 680749, South Korea

[2] Ohio State Univ, Dept Elect & Comp Engn, Columbus, OH 43210 USA

[3] Ohio State Univ, Dept Comp Sci & Engn, Columbus, OH 43210 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 2015年 / 52卷 / 03期

基金：

新加坡国家研究基金会;

关键词：

Levy flight; first exit time; first passage time; bounded region;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we characterize the mean and the distribution of the first exit time of a Levy flight from a bounded region in N-dimensional spaces. We characterize tight upper and lower bounds on the tail distribution of the first exit time, and provide the exact asymptotics of the mean first exit time for a given range of step-length distribution parameters.

引用

页码：649 / 664

页数：16

共 13 条

[1] Andersen ES, 1953, SKAND AKTUARIETIDSKR, V36, P123
[2] Properties of Levy flights on an interval with absorbing boundaries
Buldyrev, SV
Gitterman, M
Havlin, S
Kazakov, AY
da Luz, MGE
Raposo, EP
Stanley, HE
Viswanathan, GM
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2001, 302 (1-4) : 148 - 161
[3] Average time spent by Levy flights and walks on an interval with absorbing boundaries
Buldyrev, SV
Havlin, S
Kazakov, AY
da Luz, MGE
Raposo, EP
Stanley, HE
Viswanathan, GM
[J]. PHYSICAL REVIEW E, 2001, 64 (04): : 11 - 411081
[4] Heat kernel estimates for the Dirichlet fractional Laplacian
Chen, Zhen-Qing
Kim, Panki
Song, Renming
[J]. JOURNAL OF THE EUROPEAN MATHEMATICAL SOCIETY, 2010, 12 (05) : 1307 - 1329
[5] Levy-Brownian motion on finite intervals:: Mean first passage time analysis -: art. no. 046104
Dybiec, B
Gudowska-Nowak, E
Hänggi, P
[J]. PHYSICAL REVIEW E, 2006, 73 (04): : 1 - 9
[6] ON THE BELL-SHAPE OF STABLE DENSITIES
GAWRONSKI, W
[J]. ANNALS OF PROBABILITY, 1984, 12 (01) : 230 - 242
[7] Getoor R. K., 1961, T AM MATH SOC, V101, P75, DOI DOI 10.2307/1993412
[8] The spectrum of the fractional Laplacian and First-Passage-Time statistics
Katzav, E.
Adda-Bedia, M.
[J]. EPL, 2008, 83 (03)
[9] THE GROWTH OF RANDOM-WALKS AND LEVY PROCESSES
PRUITT, WE
[J]. ANNALS OF PROBABILITY, 1981, 9 (06) : 948 - 956
[10] Area coverage of radial Levy flights with periodic boundary conditions
Vahabi, Mahsa
Schulz, Johannes H. P.
Shokri, Babak
Metzler, Ralf
[J]. PHYSICAL REVIEW E, 2013, 87 (04):

← 1 2 →