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Lévy-Brownian motion on finite intervals : mean first passage time analysis
Journal
Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
Author
Dybiec Bartłomiej
Gudowska-Nowak Ewa
Hänggi P.
Number
4
Volume
73
Article ID
046104
ISSN
1539-3755
eISSN
1550-2376
Language
English
Journal language
English
Abstract in English
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
Affiliation
Wydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki im. Mariana Smoluchowskiego
Scopus© citations
132
| dc.abstract.en | 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. | pl |
| dc.affiliation | Wydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki im. Mariana Smoluchowskiego | pl |
| dc.contributor.author | Dybiec, Bartłomiej - 102110 | pl |
| dc.contributor.author | Gudowska-Nowak, Ewa - 128235 | pl |
| dc.contributor.author | Hänggi, P. | pl |
| dc.date.accessioned | 2018-04-13T08:31:01Z | |
| dc.date.available | 2018-04-13T08:31:01Z | |
| dc.date.issued | 2006 | pl |
| dc.description.number | 4 | pl |
| dc.description.volume | 73 | pl |
| dc.identifier.articleid | 046104 | pl |
| dc.identifier.doi | 10.1103/PhysRevE.73.046104 | pl |
| dc.identifier.eissn | 1550-2376 | pl |
| dc.identifier.issn | 1539-3755 | pl |
| dc.identifier.uri | https://ruj.uj.edu.pl/xmlui/handle/item/53372 | |
| dc.language | eng | pl |
| dc.language.container | eng | pl |
| dc.rights | Dodaję tylko opis bibliograficzny | * |
| dc.rights.licence | Bez licencji otwartego dostępu | |
| dc.rights.uri | * | |
| dc.subtype | Article | pl |
| dc.title | Lévy-Brownian motion on finite intervals : mean first passage time analysis | pl |
| dc.title.journal | Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics | pl |
| dc.type | JournalArticle | pl |
| dspace.entity.type | Publication |
dc.abstract.enpl
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. dc.affiliationpl
Wydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki im. Mariana Smoluchowskiego dc.contributor.authorpl
Dybiec, Bartłomiej - 102110 dc.contributor.authorpl
Gudowska-Nowak, Ewa - 128235 dc.contributor.authorpl
Hänggi, P. dc.date.accessioned
2018-04-13T08:31:01Z dc.date.available
2018-04-13T08:31:01Z dc.date.issuedpl
2006 dc.description.numberpl
4 dc.description.volumepl
73 dc.identifier.articleidpl
046104 dc.identifier.doipl
10.1103/PhysRevE.73.046104 dc.identifier.eissnpl
1550-2376 dc.identifier.issnpl
1539-3755 dc.identifier.uri
https://ruj.uj.edu.pl/xmlui/handle/item/53372 dc.languagepl
eng dc.language.containerpl
eng dc.rights*
Dodaję tylko opis bibliograficzny dc.rights.licence
Bez licencji otwartego dostępu dc.rights.uri*
dc.subtypepl
Article dc.titlepl
Lévy-Brownian motion on finite intervals : mean first passage time analysis dc.title.journalpl
Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics dc.typepl
JournalArticle dspace.entity.type
Publication Affiliations
Wydział Fizyki, Astronomii i Informatyki Stosowanej
Dybiec, Bartłomiej
Gudowska-Nowak, Ewa
No affiliation
Hänggi, P.