Survival Probability of Random Walks and Lévy Flights on a Semi-Infinite Line

Abstract

We consider a one-dimensional random walk (RW) with a continuous and symmetric jump distribution, $f(η)$, characterized by a Lévy index $μ\in (0,2]$, which includes standard random walks ($μ=2$) and Lévy flights ($0<μ<2$). 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 $x_0 = O(n^{1/μ})$ ("classical regime") the discrete-time nature of the process is irrelevant and one recovers the standard scaling behavior (for $μ=2$ 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 $x_0$.

20 pages, 3 figures, revised and accepted version