First passage time problems for a class of master equations with separable kernels

We discuss first passage time problems for a class of one-dimensional master equations with separable kernels. For this class of master equations the integral equation for first passage time moments can be transformed exactly into ordinary differential equations. When the separable kernel has only a single term the equation for the mean first passage time obtained is exactly that for simple diffusion. The boundary conditions, however, differ from those appropriate to simple diffusion. The equations for higher moments differ slightly from those for simple diffusion. Analysis is presented, of a generalization of a model of a random walk with long-range jumps first investigated by Lindenberg and Shuler. Since the equations can be solved exactly one can study the behavior of boundary conditions in the continuum limit. The generalization to a larger number of terms in the separable kernel leads to higher order equations for the first passage time moments. In each case, boundary conditions can be found directly from the original master equation.     

First passage time distributions for finite one-dimensional random walks

We present closed expressions for the characteristic function of the first passage time distribution for biased and unbiased random walks on finite chains and continuous segments with reflecting boundary conditions. Earlier results on mean first passage times for one-dimensional random walks emerge as special cases. The divergences that result as the boundary is moved out to infinity are exhibited explicitly. For a symmetric random walk on a line, the distribution is an elliptic theta function that goes over into the known Lévy distribution with exponent 1/2 as the boundary tends to ∞.     

Stratonovich model driven by dichotomous noise: Mean first passage time

The mean first passage time to reach a noise-induced state starting from a local minimum of the stationary probability density is calculated analytically exploiting a novel type of boundary conditions. The result is checked by digital simulation for typical values of the parameters.     

Boundary behavior of diffusion approximations to Markov jump processes

We show that diffusion approximations, including modified diffusion approximations, can be problematic since the proper choice of local boundary conditions (if any exist) is not obvious. For a class of Markov processes in one dimension, we show that to leading order it is proper to use a diffusion (Fokker-Planck) approximation to compute mean exit times with a simple absorbing boundary condition. However, this is only true for the leading term in the asymptotic expansion of the mean exit time. Higher order correction terms do not, in general, satisfy simple absorbing boundary conditions. In addition, the diffusion approximation for the calculation of mean exit times is shown to break down as the initial point approaches the boundary, and leads to an increasing relative error. By introducing a boundary layer, we show how to correct the diffusion approximation to obtain a uniform approximation of the mean exit time. We illustrate these considerations with a number of examples, including a jump process which leads to Kramers' diffusion model. This example represents an extension to a multivariate process.     

Monte Carlo simulation of overdamped motion in a double well potential under the influence of coloured noise

We present a Monte Carlo simulation algorithm for evaluating the stationary probability and the mean and the variance of first passage times in any dynamical system under the influence of additive coloured Gaussian and Marcovian noise (Ornstein-Uhlenbeck process). Our algorithm generates the Ornstein-Uhlenbeck process by a superposition of a finite number of random telegraph processes. We obtain our results from a direct evaluation of the trajectories. We apply our method to the overdamped motion of a particle in a double well potential. We compare our simulation results with various analytic approximations for the stationary probability and the mean first passage times.     

平均最后通过时间和热核裂变速率

提出利用平均最后通过鞍点时间计算热核裂变速率,结果表明平均最后通过鞍点时间的倒数比平均首次通过断点时间的倒数更接近朗之万数值模拟值. The mean last passage time is introduced to instead of the mean first passage time for studying the decay of an induced-fissioning system. The stationary fission rate determined by the inverse of mean last passage time across the saddle point is agreement with the resulting rate of Langevin simulation and better than that of mean first passage time arriving at the scission point.     

Fractional nonlinear diffusion equation and first passage time

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional nonlinear diffusion equation with a space- and time-dependent diffusion coefficient subject to absorbing boundaries and the initial condition. We obtain explicit analytical expression for the probability distribution, the first passage time distribution, the mean first passage time, and the mean squared displacement corresponding to different time-dependent diffusion coefficient. In addition, we compare our results for the first passage time distribution and the mean first passage time with the one obtained by usual linear diffusion equation with time-dependent diffusion coefficient.     

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional nonlinear diffusion equation with diffusion coefficient separable in time and space, D(t,x)=D(t)|x|^−θ, subject to absorbing boundary condition and the conventional initial condition p(x,0)=δ(x−x₀). We obtain explicit analytical expressions for the probability distribution, the first passage time distribution, the mean first passage time and the mean squared displacement, and discuss their behavior corresponding to different time dependent diffusion coefficients.     

Discrete dynamics and metastability: Mean first passage times and escape rates

The problem of escape from a domain of attraction is applied to the case of discrete dynamical systems possessing stable and unstable fixed points. In the presence of noise, the otherwise stable fixed point of a nonlinear map becomes metastable, due to noise-induced hopping events, which eventually pass the unstable fixed point. Exact integral equations for the moments of the first passage time variable are derived, as well as an upper bound for the first moment. In the limit of weak noise, the integral equation for the first moment, i.e., the mean first passage time (MFPT), is treated, both numerically and analytically. The exponential leading part of the MFPT is given by the ratio of the noise-induced invariant probability at the stable fixed point and unstable fixed point, respectively. The evaluation of the prefactor is more subtle: It is characterized by a jump at the exit boundaries, which is the result of a discontinuous boundary layer function obeying an inhomogeneous integral equation. The jump at the boundary is shown to be always less than one-half of the maximum value of the MFPT. On the basis of a clear-cut separation of time scales, the MFPT is related to the escape rate to leave the domain of attraction and other transport coefficients, such as the diffusion coefficient. Alternatively, the rate can also be obtained if one evaluates the current-carrying flux that results if particles are continuously injected into the domain of attraction and captured beyond the exit boundaries. The two methods are shown to yield identical results for the escape rate of the weak noise result for the MFPT, respectively. As a byproduct of this study, we obtain general analytic expressions for the invariant probability of noisy maps with a small amount of nonlinearity.     

Non-Markov processes: The problem of the mean first passage time

The theory of the mean first passage time is developed for a general discrete non-Markov process whose time evolution is governed by a generalized master equation. The mean first passage time is determined by an adjoint matrix ⁺ in a form analogous to the Fokker Planck case. The theory is illustrated by two examples: A one-dimensional unit step non-Markov process and a non-Markov process with two-step transitions. Explicit expressions for the mean first passage time are derived.     

First passage time and escape time distributions for continuous time random walks

We consider an arbitrary continuous time random walk (ctrw)via unbiased nearest-neighbour jumps on a linear lattice. Solutions are presented for the distributions of the first passage time and the time of escape from a bounded region. A simple relation between the conditional probability function and the first passage time distribution is analysed. So is the structure of the relation between the characteristic functions of the first passage time and escape time distributions. The mean first passage time is shown to diverge for all (unbiased)ctrw’s. The divergence of the mean escape time is related to that of the mean time between jumps. A class ofctrw’s displaying a self-similar clustering behaviour in time is considered. The exponent characterising the divergence of the mean escape time is shown to be (1−H), whereH(0<H<1) is the fractal dimensionality of thectrw.     

The kinetic boundary layer around an absorbing sphere and the growth of small droplets

Deviations from the classical Smoluchowski expression for the growth rate of a droplet in a supersaturated vapor can be expected when the droplet radius is not large compared to the mean free path of a vapor molecule. The growth rate then depends significantly on the structure of the kinetic boundary layer around a sphere. We consider this kinetic boundary layer for a dilute system of Brownian particles. For this system a large class of boundary layer problems for a planar wall have been solved. We show how the spherical boundary layer can be treated by a perturbation expansion in the reciprocal droplet radius. In each order one has to solve a finite number ofplanar boundary layer problems. The first two corrections to the planar problem are calculated explicitly. For radii down to about two velocity persistence lengths (the analog of the mean free path for a Brownian particle) the successive approximations for the growth rate agree to within a few percent. A reasonable estimate of the growth rate for all radii can be obtained by extrapolating toward the exactly known value at zero radius. Kinetic boundary layer effects increase the time needed for growth from 0 to 10 (or 2 1/2) velocity persistence lengths by roughly 35% (or 175%).     

Could one single dichotomous noise cause resonant activation for exit time over potential barrier？

This paper studies the mean first passage time （or exit time, or escape time） over the non-fluctuating potential harrier for a system driven only by a dichotomous noise. It finds that the dichotomous noise can make the particles escape over the potential barrier, in some circumstances; but in other circumstances, it can not. In the case that the particles escape over the potential harrier, a resonant activation phenomenon for the mean first passage time over the potential barrier is obtained.     

A kinetic model for the premelting of a crystalline structure

An analytical kinetic approach to examine the premelting phenomenon is suggested by using a first passage time analysis. Premelting is considered to occur when the time of formation of a Frenkel type defect in the surface monolayer becomes sufficiently small. The mean time of defect formation on the surface lattice, i.e., the mean time necessary for a selected (surface-located) molecule to leave its lattice site and form a Frenkel defect, is calculated by using a first passage time analysis. The model is illustrated by numerical calculations for a crystalline structure composed of molecules interacting via the Lennard-Jones (LJ) potential. The lattice vectors in the plane parallel to the free surface of the crystal were assumed to be equal (to the lattice parameter) and the angle between them was varied. The model predictions of the Tammann temperature (of premelting) are very sensitive to the parameters of the LJ potential. In all the cases considered, the temperature dependence of the mean first passage time has two clearly distinct regimes: at low temperatures the dependence is sharp and at high temperatures it is weak.     

First passage time statistics for some stochastic processes with superimposed shot noise

We present a method for finding statistical properties of the first passage time to exit an interval of general diffusion processes subject to random delta function impulses. Exact solutions are found for the mean first passage time for Brownian motion. Other special cases, detailed in the text, can also be solved in some generality.     

Enhancement of stability in randomly switching potential with metastable state

The overdamped motion of a Brownian particle in randomly switching piece-wise metastable linear potential shows noise enhanced stability (NES): the noise stabilizes the metastable system and the system remains in this state for a longer time than in the absence of white noise. The mean first passage time (MFPT) has a maximum at a finite value of white noise intensity. The analytical expression of MFPT in terms of the white noise intensity, the parameters of the potential barrier, and of the dichotomous noise is derived. The conditions for the NES phenomenon and the parameter region where the effect can be observed are obtained. The mean first passage time behaviors as a function of the mean flipping rate of the potential for unstable and metastable initial configurations are also analyzed. We observe the resonant activation phenomenon for initial metastable configuration of the potential profile.Received: 16 June 2004, Published online: 31 August 2004PACS: 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion - 02.50.-r Probability theory, stochastic processes, and statistics - 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.)     

Mean first passage time for a class of non-Markovian processes

We determine the probability distribution of the first passage time for a class of non-Markovian processes. This class contains, amongst others, the well-known continuous time random walk (CTRW), which is able to account for many properties of anomalous diffusion processes. In particular, we obtain the mean first passage time for CTRW processes with truncated power-law transition time distribution. Our treatment is based on the fact that the solutions of the non-Markovian master equation can be obtained via an integral transform from a Markovian Langevin process.     

Random walks with nonnearest-neighbor transitions. II. Analytic one-dimensional theory for exponentially distributed steps in systems with boundaries

Exact analytic results for symmetric, nonnearest-neighbor random walks in one-dimensional finite and semiinfinite lattices are presented. Random walks with exponentially distributed step lengths are considered such that variation of a single parameter permits one to cover the whole range of step lengths from nearest-neighbor transitions to steps of aribtrary length. The generating functions for such lattices are derived and used to calculate a number of moment properties (mean first passage times, dispersion in the mean recurrence time). Since explicit expressions for the generating functions for these walks are obtained, additional moment properties can readily be calculated. The results found here for a finite system are compared to results found previously for a system with periodic boundary conditions. Two different semiinfinite systems are also considered.     

Extrema statistics of Wiener-Einstein processes in one,two, and three dimensions

The maxima and first-passage-time statistics of Wiener-Einstein processes are evaluated analytically in one, two, and three dimensions. We show that the mean square maximum displacement has the same time dependence as the mean square displacement, i.e., it grows linearly with time. The ratio of the mean square maximum to the mean square displacement is shown to decrease with increasing dimensionality. We also calculate the mean first passage time for the process to attain a given absolute displacement and find that it grows as the square of the displacementand is independent of the dimensionality of the process. In addition, we evaluate the dispersion of maxima and of first passage times and discuss their dependence on dimensionality.Supported in part by the National Science Foundation under Grant CHE 75-20624.     

An assessment of the high frequency boundary element and Rayleigh integral approximations

This paper revisits the popular Rayleigh integral approximation and also considers a second approximation, the high frequency boundary element method, which is similar to the Rayleigh integral. The Rayleigh integral approximation under consideration is enhanced so that only the elements visible to a particular point in the field are used to calculate the sound pressure at that point. It is demonstrated how both the Rayleigh integral and high frequency boundary element method are approximations to the boundary integral equation so that similarities between the two methods are recognized. Several test cases were conducted in order to assess and compare both methods. The first set of test cases was the pulsating and oscillating sphere. Both methods were then compared on more applied examples including a running engine, construction cab, and transmission housing. It was concluded that though both methods can reliably predict the sound power for some problems, the high frequency boundary element method is the more robust.