  The purpose of this paper is to consider the exit-time problem for a
finite-range Markov jump process, i.e, the distance the particle can jump is
bounded independent of its location. Such jump diffusions are expedient models
for anomalous transport exhibiting super-diffusion or nonstandard normal
diffusion. We refer to the associated deterministic equation as a
volume-constrained nonlocal diffusion equation. The volume constraint is the
nonlocal analogue of a boundary condition necessary to demonstrate that the
nonlocal diffusion equation is well-posed and is consistent with the jump
process. A critical aspect of the analysis is a variational formulation and a
recently developed nonlocal vector calculus. This calculus allows us to pose
nonlocal backward and forward Kolmogorov equations, the former equation
granting the various moments of the exit-time distribution.
