A nonlocal-in-time PDE system framework for hidden semi-Markov models

Date: Thu 6th June 2024

Abstract

We carefully extend the mobile-immobile decomposition of continuous time random walk models to allow particles in the immobile phase to undergo a separate process.  This can then be further extended to multiple separate processes leading to a system of non-local PDEs as governing equations (either Fokker Planck-type or Feller) for the implied hidden semi-Markov model/ persistent random walk model.