Applied Probability Trust (12 February 2016) FIRST EXIT TIME OF A LÉVY FLIGHT FROM A BOUNDED REGION IN R
نویسندگان
چکیده
In this paper we characterize the mean and the distribution of the first exit time of a Lévy flight from a bounded region in N-dimensional spaces. We characterize tight upper and lower bounds on the tail distribution of the first exit time, and provide the exact asymptotics of the mean first exit time for a given range of step-length distribution parameters.
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