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.
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页数：4
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