Algorithms for Brownian first-passage-time estimation

被引：3

作者：

Adib, Artur B. ^{[1
]}

机构：

[1] NIDDK, Chem Phys Lab, NIH, Bethesda, MD 20892 USA

来源：

PHYSICAL REVIEW E | 2009年 / 80卷 / 03期

关键词：

Brownian motion; lattice theory; probability; stochastic processes; DYNAMICS;

D O I：

10.1103/PhysRevE.80.036706

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

A class of algorithms in discrete space and continuous time for Brownian first-passage-time estimation is considered. A simple algorithm is derived that yields exact mean first-passage times (MFPTs) for linear potentials in one dimension, regardless of the lattice spacing. When applied to nonlinear potentials and/or higher spatial dimensions, numerical evidence suggests that this algorithm yields MFPT estimates that either outperform or rival Langevin-based (discrete time and continuous space) estimates.

引用

页数：4

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