TY - JOUR
T1 - Mean first passage times of processes driven by white shot noise
AU - Laio, F.
AU - Porporato, Amilcare Michele M.
AU - Ridolfi, L.
AU - Rodriguez-Iturbe, I.
PY - 2001
Y1 - 2001
N2 - 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.
AB - 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.
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U2 - 10.1103/PhysRevE.63.036105
DO - 10.1103/PhysRevE.63.036105
M3 - Article
C2 - 11308707
AN - SCOPUS:0035277299
SN - 1063-651X
VL - 63
JO - Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
JF - Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
IS - 3
ER -