The problem of analytical calculation of barrier crossing characteristics for Levy flights

By using the backward fractional Fokker-Planck equation we investigate the barrier crossing event in the presence of Levy noise. After shortly review recent results obtained with different approaches on the time characteristics of the barrier crossing, we derive a general differential equation useful to calculate the nonlinear relaxation time. We obtain analytically the nonlinear relaxation time for free Levy flights and a closed expression in quadrature of the same characteristics for cubic potential.Comment: 12 pages, 2 figures, presented at 5th International Conference on Unsolved Problems on Noise, Lyon, France, 2008, to appear in J. Stat. Mech.: Theory and Experimen

The hierarchy of exit times of Lévy-driven Langevin equations

In this paper we consider the first exit problem of an overdamped Lévy driven particle in a confining potential. We survey results obtained in recent years from our work on the Kramers’ times for dynamical systems of this type with Lévy perturbations containing heavy, and exponentially light jumps, and compare them to the well known case of dynamical systems with Gaussian perturbations. It turns out that exits induced by Lévy processes with jumps are always essentially faster than Gaussian exits