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

Bartłomiej Dybiec () and Krzysztof Szczepaniec ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2015, vol. 88, issue 7, 1-8

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

Keywords: Statistical and Nonlinear Physics (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1140/epjb/e2015-60429-2

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