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The European Physical Journal Special Topics

, Volume 191, Issue 1, pp 211–222 | Cite as

The hierarchy of exit times of Lévy-driven Langevin equations

  • P. ImkellerEmail author
  • I. PavlyukevichEmail author
  • T. WetzelEmail author
Regular article

Abstract.

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.

Keywords

European Physical Journal Special Topic Langevin Equation Heavy Tail Exit Time Compound Poisson Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© EDP Sciences and Springer 2011

Authors and Affiliations

  1. 1.Humboldt-Universität zu BerlinBerlinGermany
  2. 2.Friedrich-Schiller-Universität JenaJenaGermany

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