The first passage problem for stable linear delay equations perturbed by power law L\'evy noise

Michael A. Högele; Ilya Pavlyukevich

doi:10.1063/1.5097061

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arXiv · 1903.10975

The first passage problem for stable linear delay equations perturbed by power law L\'evy noise

Michael A. Högele·Ilya Pavlyukevich

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Abstract

This article studies a linear scalar delay differential equation subject to small multiplicative power tail L\'evy noise. We solve the first passage (the Kramers) problem with probabilistic methods and discover an asymptotic loss of memory in this non-Markovian system. Furthermore, the mean exit time increases as the power of the small noise amplitude, whereas the pre-factor accounts for memory effects. In particular, we discover a non-linear delay-induced exit acceleration due to a non-normal growth phenomenon. Our results are illustrated in the well-known linear delay oscillator driven by $\alpha$-stable L\'evy flights.

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Michael A. Högele, Ilya Pavlyukevich. 2019-03-26. The first passage problem for stable linear delay equations perturbed by power law L\'evy noise. https://doi.org/10.1063/1.5097061

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