<p>We address some direct and inverse problems, for the first-exit time (FET) <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(\tau\)</EquationSource> </InlineEquation> of a drifted Brownian motion with Poissonian resetting <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(\mathcal {X}(t)\)</EquationSource> </InlineEquation> from an interval (0,&#xa0;<i>b</i>) and the first-exit area (FEA) <i>A</i>, namely the area swept out by <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(\mathcal {X}(t)\)</EquationSource> </InlineEquation> till the time <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(\tau\)</EquationSource> </InlineEquation>; this type of diffusion process <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(\mathcal {X}(t)\)</EquationSource> </InlineEquation> is characterized by the fact that a reset to the position <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(x_R\)</EquationSource> </InlineEquation> can occur according to a homogeneous Poisson process with rate <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(r&gt;0.\)</EquationSource> </InlineEquation> When the initial position <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\(\mathcal {X}(0)= \eta \in (0,b)\)</EquationSource> </InlineEquation> is deterministic and fixed, the direct FET problem consists in investigating the statistical properties of the FET <InlineEquation ID="IEq9"> <EquationSource Format="TEX">\(\tau ,\)</EquationSource> </InlineEquation> whilst the direct FEA problem studies the probability distribution of the FEA <i>A</i>. The inverse FET problem regards the case when <InlineEquation ID="IEq10"> <EquationSource Format="TEX">\(\eta\)</EquationSource> </InlineEquation> is randomly distributed in (0,&#xa0;<i>b</i>) (while <i>r</i> and <InlineEquation ID="IEq11"> <EquationSource Format="TEX">\(x_R\)</EquationSource> </InlineEquation> are fixed); if <i>F</i>(<i>t</i>) is a given distribution function on the time <i>t</i> axis, the inverse FET problem consists in finding the density <i>g</i> of <InlineEquation ID="IEq12"> <EquationSource Format="TEX">\(\eta ,\)</EquationSource> </InlineEquation> if it exists, such that <InlineEquation ID="IEq13"> <EquationSource Format="TEX">\(P[\tau \le t ] = F(t), \ t&gt;0.\)</EquationSource> </InlineEquation> Several explicit examples of solutions to the inverse FET problem are provided.</p>

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Study of Direct and Inverse First-exit Problems for Drifted Brownian Motion with Poissonian Resetting

  • Mario Abundo

摘要

We address some direct and inverse problems, for the first-exit time (FET) \(\tau\) of a drifted Brownian motion with Poissonian resetting \(\mathcal {X}(t)\) from an interval (0, b) and the first-exit area (FEA) A, namely the area swept out by \(\mathcal {X}(t)\) till the time \(\tau\) ; this type of diffusion process \(\mathcal {X}(t)\) is characterized by the fact that a reset to the position \(x_R\) can occur according to a homogeneous Poisson process with rate \(r>0.\) When the initial position \(\mathcal {X}(0)= \eta \in (0,b)\) is deterministic and fixed, the direct FET problem consists in investigating the statistical properties of the FET \(\tau ,\) whilst the direct FEA problem studies the probability distribution of the FEA A. The inverse FET problem regards the case when \(\eta\) is randomly distributed in (0, b) (while r and \(x_R\) are fixed); if F(t) is a given distribution function on the time t axis, the inverse FET problem consists in finding the density g of \(\eta ,\) if it exists, such that \(P[\tau \le t ] = F(t), \ t>0.\) Several explicit examples of solutions to the inverse FET problem are provided.