On Vertically-Drifted First Arrival Position Distribution in Diffusion Channels

Recent studies show that stable distributions are successful in modeling heavy-tailed or impulsive noise. Investigation of the stability of a probability distribution can be greatly facilitated if the corresponding characteristic function (CF) has a closed-form expression. We explore a new family of distribution called the Vertically-Drifted First Arrival Position (VDFAP) distribution, which can be viewed as a generalization of symmetric alpha-stable (S$\alpha$S) distribution with stability parameter $\alpha=1$. In addition, VDFAP distribution has a clear physical interpretation when we consider first-hitting problems of particles following Brownian motion with a driving drift. Inspired by the Fourier relation between the probability density function and CF of Student's $t$-distribution, we extract an integral representation for the VDFAP probability density function. Then, we exploit the Hankel transform to derive a closed-form expression for the CF of VDFAP. From the CF, we discover that VDFAP possesses some interesting stability properties, which are in a weaker form than S$\alpha$S. This calls for a generalization of the theory on alpha-stable distributions.