Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/34150
Title: Exit times in non-Markovian drifting continuous-time random-walk processes
Author: Montero Torralbo, Miquel
Villarroel, Javier
Keywords: Rutes aleatòries (Matemàtica)
Processos estocàstics
Equacions integrals estocàstiques
Random walks (Mathematics)
Stochastic processes
Stochastic integral equations
Issue Date: 2010
Publisher: American Physical Society
Abstract: By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to the corrections ensuing from the non-Markovian nature of the process. We show that when drift and jumps have the same sign the relevant integral equations can be solved in closed form. The case when holding times have the classical Erlang distribution is considered in detail.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.82.021102
It is part of: Physical Review E, 2010, vol. 82, p. 021102-1-021102-9
Related resource: http://dx.doi.org/10.1103/PhysRevE.82.021102
URI: http://hdl.handle.net/2445/34150
ISSN: 1539-3755
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

Files in This Item:
File Description SizeFormat 
589233.pdf180.14 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.