Outflow probability for drift-diffusion dynamics

DOI10.1007/S10773-006-9291-0MaRDI QIDQ2643201zbMATH OpenOpenAlexFDO

Authors Julia Hinkel, Reinhard Mahnke

Publication date 23 August 2007

Published in International Journal of Theoretical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0603579

zbMATH Keywords

boundary-value problemMarkov processstochastic analysis

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Traffic problems in operations research (90B20)

Abstract: The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time probability density distribution taking into account reflecting boundary on left hand side and absorbing border on right hand side. This quantity is calculated from balance equation which follows from conservation of probability. At first, the initial--boundary--value problem is solved analytically in terms of eigenfunction expansion which relates to Sturm--Liouville analysis. The results are obtained for all possible values of drift (positive, zero, negative). As application we get the cumulative breakdown probability which is used in theory of traffic flow.

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Cites work

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Cited in

(2)

• Outflows dynamics
• On correlations between certain random variables associated with first passage Brownian motion

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