Analytical and numerical results for first escape time in 2D

We consider the problem of a particle subject to Brownian motion in a 2D circular domain with reflecting boundaries except for an absorbing gate. An exact solution for the mean first escape time is given for a gate of any size. Also obtained is the exact probability density of the location of an exiting particle. Numerical simulations of the stochastic process with finite step size are compared with the exact solution to the Brownian motion (the limit of zero step size). The difference between the two appears to decrease with diminishing step size.