Sign changes as a universal concept in first-passage-time calculations

Braun, Wilhelm and Thul, Ruediger (2017) Sign changes as a universal concept in first-passage-time calculations. Physical Review E, 95 (012114). pp. 1-7. ISSN 2470-0053

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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.

Item Type: Article
Schools/Departments: University of Nottingham, UK > Faculty of Science > School of Mathematical Sciences
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Depositing User: Thul, Ruediger
Date Deposited: 11 Jan 2017 09:11
Last Modified: 04 May 2020 18:31

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