Algorithms for Brownian first passage time estimation

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 (MFPT) for linear potentials in one dimension, regardless of the lattice spacing. When applied to nonlinear p...

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Bibliographic Details
Published in:arXiv.org 2009-04
Main Author: Adib, Artur B
Format: Article
Language:English
Subjects:
Algorithms
Online Access:Get full text
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Summary: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 (MFPT) 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, continuous space) estimates.
ISSN:2331-8422
DOI:10.48550/arxiv.0904.4219