English

The first-passage area of Wiener process with stochastic resetting

Probability 2023-06-22 v1

Abstract

For a one-dimensional Wiener process with stochastic resetting X(t){\cal X}(t), obtained from an underlying Wiener process X(t),X(t), we study the statistical properties of its first-passage time through zero, when starting from x>0,x>0, and its first-passage area, that is the random area enclosed between the time axis and the path of the process X(t){\cal X} (t) up to the first-passage time through zero. By making use of solutions of certain associated ODEs, we are able to find explicit expressions for the Laplace transforms of the first-passage time and the first-passage area, and their single and joint moments.

Keywords

Cite

@article{arxiv.2306.12154,
  title  = {The first-passage area of Wiener process with stochastic resetting},
  author = {Mario Abundo},
  journal= {arXiv preprint arXiv:2306.12154},
  year   = {2023}
}