First passage time statistics of Brownian motion with purely time dependent drift and diffusion

DOI10.1016/J.PHYSA.2011.01.024zbMATH Open1225.60135arXiv1009.0557OpenAlexW2162614396WikidataQ62548014 ScholiaQ62548014MaRDI QIDQ647810FDOQ647810

Authors: A. Molini, Peter Talkner, Gabriel G. Katul, Amilcare Porporato 

Publication date: 19 November 2011

Published in: Physica A (Search for Journal in Brave)

Abstract: Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by time-dependent drift and diffusion coefficients. Modeling such systems requires solving the associated Fokker-Planck equation subject to an absorbing barrier. Transitional probabilities are derived via the method of images, whose applicability to time dependent problems is shown to be limited to state-independent drift and diffusion coefficients that only depend on time and are proportional to each other. First passage time statistics, such as the survival probabilities and first passage time densities are obtained analytically. The analysis includes the study of different functional forms of the time dependent drift and diffusion, including power-law time dependence and different periodic drivers. As a case study of these theoretical results, a stochastic model for water availability from surface runoff in snowmelt dominated regions is presented, where both temperature effects and snow-precipitation input are incorporated.

Full work available at URL: https://arxiv.org/abs/1009.0557

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Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

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