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First passage and arrival time densities for Levy Flights

Tuesday 27th June 2006 - 15:30 to 16:30
INI Seminar Room 1

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.

University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons