Mean first passage times of processes driven by white shot noise

Phys Rev E Stat Nonlin Soft Matter Phys. 2001 Mar;63(3 Pt 2):036105. doi: 10.1103/PhysRevE.63.036105. Epub 2001 Feb 20.

Abstract

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.