We study Kleinberg navigation (the search of a target in a d-dimensional lattice, where each site is connected to one other random site at distance r, with probability proportional to r^{-a}) by means of an exact master equation for the process. We show that the asymptotic scaling behavior for the delivery time T to a target at distance L scales as (ln L)^2 when a=d, and otherwise as L^x, with x=(d-a)/(d+1-a) for ad+1. These values of x exceed the rigorous lower-bounds established by Kleinberg. We also address the situation where there is a finite probability for the message to get lost along its way and find short delivery times (conditioned upon arrival) for a wide range of a's.