Survival probability of random walks and Lévy flights on a semi-infinite line

Satya N. Majumdar ¹ Philippe Mounaix ² Gregory Schehr ¹ Satya Majumdar ¹

Journal of Physics A: Mathematical and Theoretical, IOP Publishing, 2017, 50 (46), 〈10.1088/1751-8121/aa8d28〉

We consider a one-dimensional random walk (RW) with a continuous and symmetric jump distribution, $f(\eta)$, characterized by a L\’evy index $\mu \in (0,2]$, which includes standard random walks ($\mu=2$) and L\’evy flights ($0<\mu<2$). We study the survival probability, $q(x_0,n)$, representing the probability that the RW stays non-negative up to step $n$, starting initially at $x_0 \geq 0$. Our main focus is on the $x_0$-dependence of $q(x_0,n)$ for large $n$. We show that $q(x_0,n)$ displays two distinct regimes as $x_0$ varies: (i) for $x_0= O(1)$ ("quantum regime"), the discreteness of the jump process significantly alters the standard scaling behavior of $q(x_0,n)$ and (ii) for $x_0 = O(n^{1/\mu})$ ("classical regime") the discrete-time nature of the process is irrelevant and one recovers the standard scaling behavior (for $\mu =2$ this corresponds to the standard Brownian scaling limit). The purpose of this paper is to study how precisely the crossover in $q(x_0,n)$ occurs between the quantum and the classical regime as one increases $x_0$.

• 1. LPTMS – Laboratoire de Physique Théorique et Modèles Statistiques
• 2. CPHT – Centre de Physique Théorique [Palaiseau]