2 research outputs found
First passage and arrival time densities for L\'evy flights and the failure of the method of images
We discuss the first passage time problem in the semi-infinite interval, for
homogeneous stochastic Markov processes with L{\'e}vy stable jump length
distributions (),
namely, L{\'e}vy 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 . 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.Comment: 8 pages, 3 figures, iopart.cls style, accepted to J. Phys. A (Lett