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Escape from hypercube driven by multi-variate α-stable noises: role of independence

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  • Bartłomiej Dybiec
  • Krzysztof Szczepaniec

Abstract

We explore properties of the escape kinetics from the d-dimensional hypercube driven by multi-variate α-stable noises. Using methods of stochastic dynamics we show complex dependence of the mean first passage time for the escape from the hypercube as a function of the hypercube dimension d. Finally, we show how the escape process can be used to quantify independence of components of multi-variate α-stable noises. Copyright The Author(s) 2015

Suggested Citation

  • Bartłomiej Dybiec & Krzysztof Szczepaniec, 2015. "Escape from hypercube driven by multi-variate α-stable noises: role of independence," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(7), pages 1-8, July.
    • Handle: RePEc:spr:eurphb:v:88:y:2015:i:7:p:1-8:10.1140/epjb/e2015-60429-2
    DOI: 10.1140/epjb/e2015-60429-2
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    References listed on IDEAS

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    1. Aleksander Janicki, 1996. "Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook9601, December.
    2. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook9401, December.
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