Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/34148
Title: Monotonic continuous-time random walks with drift and stochastic reset events
Author: Montero Torralbo, Miquel
Villarroel, Javier
Keywords: Processos estocàstics
Mètode de Montecarlo
Transformació de Laplace
Stochastic processes
Monte Carlo method
Laplace transformation
Issue Date: 16-Jan-2013
Publisher: American Physical Society
Abstract: In this paper we consider a stochastic process that may experience random reset events which suddenly bring the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonic continuous-time random walks with a constant drift: The process increases between the reset events, either by the effect of the random jumps, or by the action of the deterministic drift. As a result of all these combined factors interesting properties emerge, like the existence (for any drift strength) of a stationary transition probability density function, or the faculty of the model to reproduce power-law-like behavior. General formulas for two extreme statistics, the survival probability, and the mean exit time, are also derived. To corroborate in an independent way the results of the paper, Monte Carlo methods were used. These numerical estimations are in full agreement with the analytical predictions.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.87.012116
It is part of: Physical Review E, 2013, vol. 87, p. 012116-1-012116-14
Related resource: http://dx.doi.org/10.1103/PhysRevE.87.012116
URI: http://hdl.handle.net/2445/34148
ISSN: 1539-3755
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

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