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