Lévy-Brownian motion on finite intervals: Mean first passage time analysis.
We present the analysis of the first passage time problem on a finite interval for the generalized Wiener process that is driven by Lévy stable noises. The complexity of the first passage time statistics (mean first passage time, cumulative first passage time distribution) is elucidated together with a discussion of the proper setup of corresponding boundary conditions that correctly yield the statistics of first passages for these non-Gaussian noises. The validity of the method is tested numerically and compared against analytical formulas when the stability index alpha approaches 2, recovering in this limit the standard results for the Fokker-Planck dynamics driven by Gaussian white noise.
Dybiec
B
B
Marian Smoluchowski Institute of Physics and Mark Kac Center for Complex Systems Research, Jagellonian University, ul. Reymonta 4, 30-059 Kraków, Poland. bartek@th.if.uj.edu.pl
Gudowska-Nowak
E
E
Hänggi
P
P