Mean first passage times of processes driven by white shot noise.


Journal Article

We consider mean first passage times in systems driven by white shot noise with exponentially distributed jump heights. Simple interpretable results are obtained and the linkage between those results and the steady-state probability density function of the process is presented. The virtual waiting-time or Takács process (constant losses) and the shot noise process with linear losses are analyzed in depth, along with a more complex process with useful implications for the modeling of the soil moisture dynamics in hydrology.

Full Text

Duke Authors

Cited Authors

  • Laio, F; Porporato, A; Ridolfi, L; Rodriguez-Iturbe, I

Published Date

  • March 2001

Published In

Volume / Issue

  • 63 / 3 Pt 2

Start / End Page

  • 036105 -

PubMed ID

  • 11308707

Pubmed Central ID

  • 11308707

Electronic International Standard Serial Number (EISSN)

  • 1550-2376

International Standard Serial Number (ISSN)

  • 1539-3755

Digital Object Identifier (DOI)

  • 10.1103/physreve.63.036105


  • eng