Escape from bounded domains driven by multivariate α-stable noises. (23rd June 2015)

• Record Type: Journal Article
• Authors: Szczepaniec, Krzysztof; Dybiec, Bartłomiej
• Is Part Of: Journal of statistical mechanics. (2015:Jun.)
• Publication Date: 2015-06-23
• Subjects: 4 -- 9; 4/050 -- 4/220 -- 9/300 -- 4/037; Statistical mechanics -- Periodicals; Mechanics -- Statistical methods -- Periodicals; 530.1305
• DOI: 10.1088/1742-5468/2015/06/P06031
• Languages: English
• ISSNs: 1742-5468

Abstract

Abstract: In this paper we provide an analysis of a mean first passage time problem of a random walker subject to a bivariate α -stable Lévy-type noise from a 2-dimensional disk. For an appropriate choice of parameters the mean first passage time reveals non-trivial, non-monotonous dependence on the stability index α describing jumps' length asymptotics both for spherical and Cartesian Lévy flights. Finally, we study escape from a d -dimensional hypersphere showing that a d -dimensional escape process can be used to discriminate between various types of multivariate α -stable noises, especially spherical and Cartesian Lévy flights.