Mean first passage times of processes driven by white shot noise.
Publication
, Journal Article
Laio, F; Porporato, A; Ridolfi, L; Rodriguez-Iturbe, I
Published in: Physical review. E, Statistical, nonlinear, and soft matter physics
March 2001
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.
Duke Scholars
Published In
Physical review. E, Statistical, nonlinear, and soft matter physics
DOI
EISSN
1550-2376
ISSN
1539-3755
Publication Date
March 2001
Volume
63
Issue
3 Pt 2
Start / End Page
036105
Related Subject Headings
- Fluids & Plasmas
- 09 Engineering
- 02 Physical Sciences
- 01 Mathematical Sciences
Citation
APA
Chicago
ICMJE
MLA
NLM
Laio, F., Porporato, A., Ridolfi, L., & Rodriguez-Iturbe, I. (2001). Mean first passage times of processes driven by white shot noise. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, 63(3 Pt 2), 036105. https://doi.org/10.1103/physreve.63.036105
Laio, F., A. Porporato, L. Ridolfi, and I. Rodriguez-Iturbe. “Mean first passage times of processes driven by white shot noise.” Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics 63, no. 3 Pt 2 (March 2001): 036105. https://doi.org/10.1103/physreve.63.036105.
Laio F, Porporato A, Ridolfi L, Rodriguez-Iturbe I. Mean first passage times of processes driven by white shot noise. Physical review E, Statistical, nonlinear, and soft matter physics. 2001 Mar;63(3 Pt 2):036105.
Laio, F., et al. “Mean first passage times of processes driven by white shot noise.” Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, vol. 63, no. 3 Pt 2, Mar. 2001, p. 036105. Epmc, doi:10.1103/physreve.63.036105.
Laio F, Porporato A, Ridolfi L, Rodriguez-Iturbe I. Mean first passage times of processes driven by white shot noise. Physical review E, Statistical, nonlinear, and soft matter physics. 2001 Mar;63(3 Pt 2):036105.
Published In
Physical review. E, Statistical, nonlinear, and soft matter physics
DOI
EISSN
1550-2376
ISSN
1539-3755
Publication Date
March 2001
Volume
63
Issue
3 Pt 2
Start / End Page
036105
Related Subject Headings
- Fluids & Plasmas
- 09 Engineering
- 02 Physical Sciences
- 01 Mathematical Sciences