Sign-changes as a universal concept in first-passage time calculations
Abstract
First-passage time problems are ubiquitous across many fields of study including transport processes in semiconductors and biological synapses, evolutionary game theory and percolation. Despite their prominence, first-passage time calculations have proven to be particularly challenging. Analytical results to date have often been obtained under strong conditions, leaving most of the exploration of first-passage time problems to direct numerical computations. Here we present an analytical approach that allows the derivation of first-passage time distributions for the wide class of non-differentiable Gaussian processes. We demonstrate that the concept of sign changes naturally generalises the common practice of counting crossings to determine first-passage events. Our method works across a wide range of time-dependent boundaries and noise strengths thus alleviating common hurdles in first-passage time calculations.
Cite
@article{arxiv.1701.00648,
title = {Sign-changes as a universal concept in first-passage time calculations},
author = {Wilhelm Braun and Rüdiger Thul},
journal= {arXiv preprint arXiv:1701.00648},
year = {2017}
}
Comments
7 pages, 6 figures. Accepted for publication in Phys. Rev. E