Residual mean first-passage time for jump processes: theory and applications to Lévy flights and fractional Brownian motion

Details Residual mean first-passage time for jump processes: theory and applications to Lévy flights and fractional Brownian motion Residual mean first-passage time for jump processes: theory and applications to Lévy flights and fractional Brownian motion

2011-03-25

arxiv.org/abs/1103.4961v1

Physics

Condensed Matter

Statistical Mechanics

13 pages, 8 figures

Scientific paper

We derive a functional equation for the mean first-passage time (MFPT) of a generic self-similar Markovian continuous process to a target in a one-dimensional domain and obtain its exact solution. We show that the obtained expression of the MFPT for continuous processes is actually different from the large system size limit of the MFPT for discrete jump processes allowing leapovers. In the case considered here, the asymptotic MFPT admits non-vanishing corrections, which we call residual MFPT. The case of L/'evy flights with diverging variance of jump lengths is investigated in detail, in particular, with respect to the associated leapover behaviour. We also show numerically that our results apply with good accuracy to fractional Brownian motion, despite its non-Markovian nature.

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