First passage time problem for biased continuous-time random walks

Authors
Rangarajan, G Ding, MZ
Citation
G. Rangarajan et Mz. Ding, First passage time problem for biased continuous-time random walks, FRACTALS, 8(2), 2000, pp. 139-145
Citations number
36
Categorie Soggetti
Multidisciplinary
Journal title
FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY
ISSN journal
0218348X → ACNP
Volume
8
Issue
2
Year of publication
2000
Pages
139 - 145
Database
ISI
SICI code
0218-348X(200006)8:2<139:FPTPFB>2.0.ZU;2-J
Abstract
We study the first passage time (FPT) problem for biased continuous time ra ndom walks. Using the recently formulated framework of fractional Fokker-Pl anck equations, we obtain the Laplace transform of the FPT density function when the bias is constant. When the bias depends linearly on the position, the full FPT density function is derived in terms of Hermite polynomials a nd generalized Mittag-Leffler functions.