scholarly journals First passage time distribution for anomalous diffusion

2000 ◽  
Vol 273 (5-6) ◽  
pp. 322-330 ◽  
Author(s):  
Govindan Rangarajan ◽  
Mingzhou Ding
Keyword(s):  
Anomalous Diffusion ◽  
Time Distribution ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage

Exact propagator for a Fokker-Planck equation, first passage time distribution, and anomalous diffusion

2011 ◽  
Vol 52 (8) ◽  
pp. 083301 ◽  
Author(s):  
A. T. Silva ◽  
E. K. Lenzi ◽  
L. R. Evangelista ◽  
M. K. Lenzi ◽  
H. V. Ribeiro ◽  
...  
Keyword(s):  
Anomalous Diffusion ◽  
Time Distribution ◽  
First Passage Time ◽  
Planck Equation ◽  
Passage Time ◽  
First Passage ◽  
Fokker Planck Equation ◽  
Fokker Planck

Identifying Coefficients in the Spectral Representation for First Passage Time Distributions

1987 ◽  
Vol 1 (1) ◽  
pp. 69-74 ◽  
Author(s):  
Mark Brown ◽  
Yi-Shi Shao
Keyword(s):  
Markov Processes ◽  
Time Distribution ◽  
Infinitesimal Generator ◽  
Spectral Representation ◽  
First Passage Time ◽  
Passage Time ◽  
Spectral Approach ◽  
Generator Matrix ◽  
Eigenvalues And Eigenvectors ◽  
First Passage

The spectral approach to first passage time distributions for Markov processes requires knowledge of the eigenvalues and eigenvectors of the infinitesimal generator matrix. We demonstrate that in many cases knowledge of the eigenvalues alone is sufficient to compute the first passage time distribution.

scholarly journals Fractional compound Poisson processes with multiple internal states

2018 ◽  
Vol 13 (1) ◽  
pp. 10 ◽  
Author(s):  
Pengbo Xu ◽  
Weihua Deng
Keyword(s):  
Stochastic Process ◽  
Random Walk ◽  
Waiting Time ◽  
Anomalous Diffusion ◽  
First Passage Time ◽  
Passage Time ◽  
Poisson Processes ◽  
First Passage ◽  
Internal States ◽  
Functional Distribution

For the particles undergoing the anomalous diffusion with different waiting time distributions for different internal states, we derive the Fokker-Planck and Feymann-Kac equations, respectively, describing positions of the particles and functional distributions of the trajectories of particles; in particular, the equations governing the functional distribution of internal states are also obtained. The dynamics of the stochastic processes are analyzed and the applications, calculating the distribution of the first passage time and the distribution of the fraction of the occupation time, of the equations are given. For the further application of the newly built models, we make very detailed discussions on the none-immediately-repeated stochastic process, e.g., the random walk of smart animals.

scholarly journals On the First Passage Time Distribution for a Class of Markov Chains

1983 ◽  
Vol 11 (4) ◽  
pp. 1000-1008 ◽  
Author(s):  
Mark Brown ◽  
Narasinga R. Chaganty
Keyword(s):  
Markov Chains ◽  
Time Distribution ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage

Evaluation of the first-passage time probability to a square root boundary for the Wiener process

1977 ◽  
Vol 14 (4) ◽  
pp. 850-856 ◽  
Author(s):  
Shunsuke Sato
Keyword(s):  
Wiener Process ◽  
Time Distribution ◽  
First Passage Time ◽  
Passage Time ◽  
Square Root ◽  
First Passage ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Asymptotic Evaluation

This paper gives an asymptotic evaluation of the probability that the Wiener path first crosses a square root boundary. The result is applied to estimate the moments of the first-passage time distribution of the Ornstein–Uhlenbeck process to a constant boundary.

Sign in / Sign up

Export Citation Format

Share Document