First exit times of harmonically trapped particles: a didactic review

DOI10.1088/1751-8113/48/1/013001MaRDI QIDQ2939853zbMATH OpenOpenAlexFDO

Authors D. S. Grebenkov

Publication date 23 January 2015

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.3598

zbMATH Keywords

confluent hypergeometric functionfirst exit timeFokker-Planck equationharmonic potentialLangevin equationOhrstein-Uhlenbeck processoptical tweezerssurvival probability

Mathematics Subject Classification ID

Other hypergeometric functions and integrals in several variables (33C70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: We revise the classical problem of characterizing first exit times of a harmonically trapped particle whose motion is described by one- or multi-dimensional Ornstein-Uhlenbeck process. We start by recalling the main derivation steps of a propagator using Langevin and Fokker-Planck equations. The mean exit time, the moment-generating function, and the survival probability are then expressed through confluent hypergeometric functions and thoroughly analyzed. We also present a rapidly converging series representation of confluent hypergeometric functions that is particularly well suited for numerical computation of eigenvalues and eigenfunctions of the governing Fokker-Planck operator. We discuss several applications of first exit times such as detection of time intervals during which motor proteins exert a constant force onto a tracer in optical tweezers single-particle tracking experiments; adhesion bond dissociation under mechanical stress; characterization of active periods of trend following and mean-reverting strategies in algorithmic trading on stock markets; relation to the distribution of first crossing times of a moving boundary by Brownian motion. Some extensions are described, including diffusion under quadratic double-well potential and anomalous diffusion.

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Cited in

(13)

• Unstable state decay in non-Markovian heat baths and weak signals detection
• Basic mechanisms of escape of a harmonically forced classical particle from a potential well
• Interlacing relaxation and first-passage phenomena in reversible discrete and continuous space Markovian dynamics
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• A physicist's guide to explicit summation formulas involving zeros of Bessel functions and related spectral sums
• Preface: new trends in first-passage methods and applications in the life sciences and engineering
• The moving-eigenvalue method: hitting time for Itô processes and moving boundaries
• Competition between slow and fast regimes for extreme first passage times of diffusion
• Stochastic resetting with stochastic returns using external trap
• Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
• First-passage time statistics for non-linear diffusion
• First-passage time for upper bounds on fluctuations of trajectory observables
• Entropic effects on the detachment kinetics of polymer loops

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