Exact enumeration approach to first-passage time distribution of non-Markov random walks
Statistical Mechanics
2019-06-07 v1 Cosmology and Nongalactic Astrophysics
Data Analysis, Statistics and Probability
Abstract
We propose an analytical approach to study non-Markov random walks by employing an exact enumeration method. Using the method, we derive an exact expansion for the first-passage time (FPT) distribution for any continuous, differentiable non-Markov random walk with Gaussian or non-Gaussian multivariate distribution. As an example, we study the FPT distribution of a fractional Brownian motion with a Hurst exponent that describes numerous non-Markov stochastic phenomena in physics, biology and geology, and for which the limit represents a Markov process.
Keywords
Cite
@article{arxiv.1906.02081,
title = {Exact enumeration approach to first-passage time distribution of non-Markov random walks},
author = {Shant Baghram and Farnik Nikakhtar and M. Reza Rahimi Tabar and Sohrab Rahvar and Ravi K. Sheth and Klaus Lehnertz and Muhammad Sahimi},
journal= {arXiv preprint arXiv:1906.02081},
year = {2019}
}
Comments
23 pages, 4 figures, 1 table and 5 appendices. Published version