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First exit time of a Lévy flight from a bounded region in ℝN
Published online by Cambridge University Press: 30 March 2016
Abstract
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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- Copyright © 2015 by the Applied Probability Trust
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