Asymptotic behaviour for escaping an interval by Lévy flights under stochastic resetting
Bartosz Zbik, Zbigniew Palmowski
Abstract
The resetting of stochastic processes has become a key mechanism appearing in many research fields, such as searching for a target, the transmission control protocol, biology, chemistry, finance, insurance, etc., with the main interest concerning the first passage time (FPT) by the process under resetting. In this paper, we focus on the exit time TL from the interval (-L, L) of Lévy flights (LF) under resetting, but we also consider spectrally negative Lévy processes (SNLP). As the main result, we find the asymptotics of the mean first passage time (MFPT) as L tends to + ∞. For LF with α∈ (0, 2), the scaling behaves as Lα regardless of the reset rate and the asymmetry of the initial condition, a behaviour completely different from that for the known case of Brownian Motion (α=2). For the symmetric α-stable case with α∈ (0, 2), we also found that taking r ∞ with fixed L yields a finite MFPT, which therefore may be used as a valid approximation. For completely asymmetric stable processes, we show that the scaling is very different from that for LF, and point out a method to obtain the exact distribution of FPT under resetting. The analytical calculations are verified by numerical simulations of the processes under resetting.
Create a lesson
Related papers
Supercritical sharpness for Ising double random currents
Trishen S. Gunaratnam, Christoforos Panagiotis, Romain Panis et al.
Intermittency for the parabolic Anderson model on spaces with sub-Gaussian heat kernel estimates
Fabrice Baudoin, Hongyi Chen, Li Chen et al.
Jump limits of continuous multiscale diffusions: Homogenization under heavy-tailed activity bursts
Qi Zhang
Fitting Gaussian vectors in normed spaces
Guillaume Aubrun, Emmanouil Stavrakakis
Asymptotic Error Distributions for Euler-Maruyama Schemes with Additive Semimartingale Noise
Mikio Hirokane
Entropic Inequalities and Limit Theorems in Boolean Probability
Kewei Pan