The exit-time problem for a Markov jump process
- Gonzaga Univ., Spokane, WA (United States)
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
The purpose of our paper is to consider the exit-time problem for a finite-range Markov jump process, i.e, the distance the particle can jump is bounded independent of its location. Such jump diffusions are expedient models for anomalous transport exhibiting super-diffusion or nonstandard normal diffusion. We refer to the associated deterministic equation as a volume-constrained nonlocal diffusion equation. The volume constraint is the nonlocal analogue of a boundary condition necessary to demonstrate that the nonlocal diffusion equation is well-posed and is consistent with the jump process. A critical aspect of the analysis is a variational formulation and a recently developed nonlocal vector calculus. Furthermore, this calculus allows us to pose nonlocal backward and forward Kolmogorov equations, the former equation granting the various moments of the exit-time distribution.
- Research Organization:
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
- Sponsoring Organization:
- USDOE National Nuclear Security Administration (NNSA)
- DOE Contract Number:
- AC04-94AL85000
- OSTI ID:
- 1235248
- Report Number(s):
- SAND2015-0850J; 563489
- Journal Information:
- European Physical Journal. A, Vol. 223; ISSN 1434-6001
- Publisher:
- Springer
- Country of Publication:
- United States
- Language:
- English
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