First-passage and extreme-value statistics of a particle subject to a constant force plus a random force (Q1012647)

The authors consider a particle which moves along the \(x\)-axis and is subject to a constant force, such as gravity, plus a random force in the form of Gaussian white noise. They analyse the statistics of first arrival at point \(x_1\) of a particle which starts at \(x_o\) with velocity \(v_o\). The probability distribution of the changes of position and velocity of the particle satisfies the time-dependent Fokker-Planck equation. The probability that the particle has not yet arrived at \(x_1\) after a time \(t\), the mean time of first arrival, and the velocity distribution at first arrival are considered. Also the statistics of the first return of the particle to its starting point is studied. Finally, it is pointed out that the extreme-value statistics of the particle and the first passage statistics are closely related. The distribution of the maximum displacement \(m=\)max\(_t[x(t)]\) is found.