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First passage distributions for long memory processes

Yeragani, VK and Rao, RKA and Tancer, M and Uhde, T (2002) First passage distributions for long memory processes. In: International Conference on Long Range Dependent Stochastic Processes, JAN, 2002, Indian Institute of Science, Bangalore.

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Abstract

We study the distribution of first passage time for Levy type anomalous diffusion. A fractional Fokker-Planck equation framework is introduced.For the zero drift case, using fractional calculus an explicit analytic solution for the first passage time density function in terms of Fox or H-functions is given. The asymptotic behaviour of the density function is discussed. For the nonzero drift case, we obtain an expression for the Laplace transform of the first passage time density function, from which the mean first passage time and variance are derived.

Item Type: Conference Paper
Additional Information: Copyright of this article belongs to Springer-Verlag Berlin.
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Date Deposited: 16 Mar 2012 12:20
Last Modified: 16 Mar 2012 12:20
URI: http://eprints.iisc.ernet.in/id/eprint/43794

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