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LETTER TO THE EDITOR First passage and arrival time densities for Lévy flights and the failure of the method of images

By Aleksei V Chechkin, Ralf Metzler, Vsevolod Y, Joseph Klafter and Leonid V Tanatarov

Abstract

Abstract. We discuss the first passage time problem in the semi-infinite interval, for homogeneous stochastic Markov processes with Lévy stable jump length distributions λ(x) ∼ ℓ α /|x | 1+α (|x | ≫ ℓ), namely, Lévy flights (LFs). In particular, we demonstrate that the method of images leads to a result, which violates a theorem due to Sparre Andersen, according to which an arbitrary continuous and symmetric jump length distribution produces a first passage time density (FPTD) governed by the universal long-time decay ∼ t −3/2. Conversely, we show that for LFs the direct definition known from Gaussian processes in fact defines the probability density of first arrival, which for LFs differs from the FPTD. Our findings are corroborated by numerical results

Year: 2003
OAI identifier: oai:CiteSeerX.psu:10.1.1.305.6953
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