First passage time distribution for anomalous diffusion

DOI10.1016/S0375-9601(00)00518-1MaRDI QIDQ1579384zbMATH OpenOpenAlexFDO

Authors Govindan Rangarajan, Mingzhou Ding

Publication date 6 September 2000

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0105266

zbMATH Keywords

anomalous diffusionfirst passage time distributionFokker-Planck equationfractional Brownian motionlarge passage time limitLevy diffusionstochastic processesuniversal power law

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Abstract: We study the first passage time (FPT) problem in Levy type of anomalous diffusion. Using the recently formulated fractional Fokker-Planck equation, we obtain an analytic expression for the FPT distribution which, in the large passage time limit, is characterized by a universal power law. Contrasting this power law with the asymptotic FPT distribution from another type of anomalous diffusion exemplified by the fractional Brownian motion, we show that the two types of anomalous diffusions give rise to two distinct scaling behavior.

Recommendations

• First passage time problem: a Fokker-Planck approach
• First passage time distributions of anomalous biased diffusion with double absorbing barriers
• First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval
• Anomalous diffusion in one dimension
• Residence time statistics for normal and fractional diffusion in a force field

Cites work

• Anomalous diffusion in one dimension
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional diffusion and wave equations
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• scientific article; zbMATH DE number 439383 (Why is no real title available?)
• scientific article; zbMATH DE number 193095 (Why is no real title available?)
• scientific article; zbMATH DE number 3593922 (Why is no real title available?)
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 556247 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 3798165 (Why is no real title available?)
• scientific article; zbMATH DE number 791392 (Why is no real title available?)
• scientific article; zbMATH DE number 3082267 (Why is no real title available?)
• scientific article; zbMATH DE number 3108589 (Why is no real title available?)
• Maximum of a fractional Brownian motion: Probabilities of small values
• Random walks with infinite spatial and temporal moments
• Self-Similar Probability Distributions
• Solving Integral Equations by L and L -1 Operators
• Stochastic processes in classical and quantum systems. Proceedings of the 1st Ascona-Como International Conference, Held in Ascona, Ticino (Switzerland), June 24--29, 1985
• The Fokker-Planck equation. Methods of solution and applications.
• The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
• The G and H Functions as Symmetrical Fourier Kernels

Cited in

(28)

• Anomalous diffusion in one dimension
• Anomalous diffusion of particles with a finite free-motion velocity
• First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval
• Explicit form of the first-passage-time density for accelerating subdiffusion
• The high order dispersion analysis based on first-passage-time probability in financial markets
• First passage time distributions of anomalous biased diffusion with double absorbing barriers
• Langevin equation for a free particle driven by power law type of noises
• Inverse statistics in economics: the gain-loss asymmetry
• A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
• Mittag-Leffler pattern in anomalous diffusion
• Exact propagator for a Fokker-Planck equation, first passage time distribution, and anomalous diffusion
• Time- and space-fractional partial differential equations
• Characteristic times of anomalous diffusion in a potential
• First passage time problem: a Fokker-Planck approach
• Solutions for a Schrödinger equation with a nonlocal term
• LÉVY FLIGHT SUPERDIFFUSION: AN INTRODUCTION
• Passage times of asymmetric anomalous walks with multiple paths
• Stochastic movement subject to a reset-and-residence mechanism: transport properties and first arrival statistics
• The fractional Schrödinger equation for delta potentials
• Options with underlying asset driven by a fractional Brownian motion: crossing barriers estimates
• On the connection between orthant probabilities and the first passage time problem
• Extreme statistics of anomalous subdiffusion following a fractional Fokker–Planck equation: subdiffusion is faster than normal diffusion
• Exact first-passage time distributions for three random diffusivity models
• Hazard-selfsimilarity of diffusions’ first passage times
• Subdiffusion in the presence of reactive boundaries: a generalized Feynman-Kac approach
• The solutions of certain generalized anomalous diffusion equations of fractional order
• Lattice Monte Carlo simulation of Galilei variant anomalous diffusion
• Synchronization threshold in coupled logistic map lattices

This page was built for publication: First passage time distribution for anomalous diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1579384)