An Isaac Newton Institute Workshop

First-Passage and Extreme Value Problems in Random Processes

First passage and arrival time densities for Lévy Flights

30th June 2006

Author: Klafter, J (Tel Aviv University)

Abstract

We discuss a few cases related to the first passage time problem when dominated by Lévy jump length distributions , namely, Lévy flights. These include crossing of a barrier, the semi- infinite interval and the nature of leap-overs. The latter is investigated for both symmetric and one-sided Lévy flights.