First-Exit Time Analysis for Truncated Heavy-Tailed Dynamical Systems

Xingyu Wang, Chang-Han Rhee

In this paper, we study the first-exit time of stochastic difference equation $X_{j+1}^{\eta }(x)=X_j^{\eta }(x)+\eta a(X_j^{\eta }(x))+\eta \sigma (X_j^{\eta }(x))Z_{j+1}$ and its truncat…