The distribution of exit times for weakly colored noise

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

We analyze the exit time (first passage time) problem for the Ornstein- Uhlenbeck model of Brownian motion. Specifically, consider the position X(t) of a particle whose velocity is an Ornstein-Uhlenbeck process with amplitude \(\sigma\) /\(\epsilon\) and correlation time \(\epsilon^ 2\), \[ dX/dt=\sigma Z/\epsilon,\quad dZ/dt=-Z/\epsilon^ 2+2^{1/2}\xi (t)/\epsilon \] where \(\xi\) (t) is Gaussian white noise. Let the exit time \(t_{ex}\) be the first time the particle escapes an interval \(- A<X(t)<B\), given that it starts at \(X(0)=0\) with \(Z(0)=z_ 0\). Here we determine the exit time probability distribution \(F(t)\equiv \Pr ob\{t_{ex}>t\}\) by directly solving the Fokker-Planck equation. In brief, after taking a Laplace transform, we use singular perturbation methods to reduce the Fokker-Planck equation to a boundary layer problem. This boundary layer problem turns out to be a half-range expansion problem, which we solve via complex variable techniques. This yields the Laplace transform of F(t) to within a transcendentally small \(O(e^{- A/\epsilon \sigma}+e^{-B/\epsilon \sigma})\) error. We then obtain F(t) by inverting the transform order by order in \(\epsilon\).

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