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2010

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/34150

Exit times in non-Markovian drifting continuous-time random-walk processes

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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.

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http://dx.doi.org/10.1103/PhysRevE.82.021102

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Rutes aleatòries (Matemàtica), Processos estocàstics, Equacions integrals estocàstiques

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Random walks (Mathematics), Stochastic processes, Stochastic integral equations

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Articles publicats en revistes (Física de la Matèria Condensada)

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MONTERO TORRALBO, Miquel and VILLARROEL, Javier. Exit times in non-Markovian drifting continuous-time random-walk processes. Physical Review E. 2010. Vol. 82, num. 021102-1-021102-9. ISSN 1539-3755. [consulted: 13 of October of 2026]. Available at: https://hdl.handle.net/2445/34150

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