First passage time problem: a Fokker-Planck approach

MaRDI QIDQ3365735zbMATHFDO

Authors Mingzhou Ding, Govindan Rangarajan

Publication date 23 January 2006

zbMATH Keywords

random walkBrownian motiondiffusionfirst passage timeFokker-Planck equationsubdiffusionfractional Fokker-Planck equationH-functionLévy processLévy anomalous diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stable stochastic processes (60G52) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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(10)

• Exact first-passage time distributions for three random diffusivity models
• Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach
• First-passage-time location function: application to determine first-passage-time densities in diffusion processes
• On the first-passage time problem: cumulant approach
• First passage time distribution for anomalous diffusion
• Exact propagator for a Fokker-Planck equation, first passage time distribution, and anomalous diffusion
• FIRST PASSAGE TIME PROBLEM FOR BIASED CONTINUOUS-TIME RANDOM WALKS
• First-passage time distribution of a Brownian motion: two unexpected journeys
• On the correspondence between a large class of dynamical systems and stochastic processes described by the generalized Fokker-Planck equation with state-dependent diffusion and drift coefficients
• First passage time distributions of anomalous biased diffusion with double absorbing barriers

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