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

stochastic processesfractional Brownian motionFokker-Planck equationfirst passage time distributionanomalous diffusionlarge passage time limitLevy diffusionuniversal 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.

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Cited in

(28)

• Passage times of asymmetric anomalous walks with multiple paths
• Langevin equation for a free particle driven by power law type of noises
• Subdiffusion in the presence of reactive boundaries: a generalized Feynman-Kac approach
• First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval
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