Levy targeting and the principle of detailed balance
Abstract
We investigate confined L\'{e}vy flights under premises of the principle of detailed balance. The master equation admits a transformation to L\'{e}vy - Schr\"{o}dinger semigroup dynamics (akin to a mapping of the Fokker-Planck equation into the generalized diffusion equation). We solve a stochastic targeting problem for arbitrary stability index of L\'{e}vy drivers: given an invariant probability density function (pdf), specify the jump - type dynamics for which this pdf is a long-time asymptotic target. Our ("-targeting") method is exemplified by Cauchy family and Gaussian target pdfs. We solve the reverse engineering problem for so-called L\'{e}vy oscillators: given a quadratic semigroup potential, find an asymptotic pdf for the associated master equation for arbitrary .
Keywords
Cite
@article{arxiv.1105.1435,
title = {Levy targeting and the principle of detailed balance},
author = {Piotr Garbaczewski and Vladimir Stephanovich},
journal= {arXiv preprint arXiv:1105.1435},
year = {2015}
}