Exit times in non-Markovian drifting continuous-time random-walk processes
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 th...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2010 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/34150 |
| Acceso en línea: | https://hdl.handle.net/2445/34150 |
| Access Level: | acceso abierto |
| Palabra clave: | Rutes aleatòries (Matemàtica) Processos estocàstics Equacions integrals estocàstiques Random walks (Mathematics) Stochastic processes Stochastic integral equations |
| Sumario: | 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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