Wiener-Hopf Integral Equations in Mean First-passage Time Problems for Continuous-time Random Walks

We study the mean first-passage time (MFPT) for asymmetric continuous time random walks in continuous space characterised by finite mean waiting times and jump amplitudes with both finite average and finite variance. We derive an inhomogeneous Wiener-Hopf integral equation that allows the exact estimation of the MFPT, which depends on the whole distribution of the jump amplitudes, but on the average of the waiting times only. Thus, our findings hold for general non-Markovian processes, since Markovianity emerges solely with an exponential distribution of the waiting times. Through the paradigmatic case study of a general class of asymmetric distributions of the jump-amplitudes that is exponential towards the boundary and arbitrary in the opposite direction, we show, that only the average of the jump amplitudes in the opposite direction of the boundary contributes to the MFPT. Moreover, we determine a length-scale, which depends only of the distribution of jumps in the direction of the boundary, such that for initial positions close to the boundary the MFPT depends on the specific whole distribution of jump amplitudes, in opposition to the appearing universality for initial positions far away from the boundary.
PRE2018-084427