The inverse first-passage problem and optimal stopping

Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that the solution of the inverse first- passage problem coincides with the solution of a related optimal stopping problem. Consequently, methods from optimal stopping theory may be applied in the study of the inverse first-passage problem. We illustrate this with a study of the associated integral equation for the boundary

A note on the first passage time problem

Kolmogoroff backward equation for analyzing first passage time problem for linear single degree of freedom vibratory system with linear viscous dampin

Anomalous diffusion and the first passage time problem

We study the distribution of first passage time (FPT) in Levy type of anomalous diffusion. Using recently formulated fractional Fokker-Planck equation we obtain three results. (1) We derive an explicit expression for the FPT distribution in terms of Fox or H-functions when the diffusion has zero drift. (2) For the nonzero drift case we obtain an analytical expression for the Laplace transform of the FPT distribution. (3) We express the FPT distribution in terms of a power series for the case of two absorbing barriers. The known results for ordinary diffusion (Brownian motion) are obtained as special cases of our more general results.Comment: 25 pages, 4 figure

Levy--Brownian motion on finite intervals: Mean first passage time analysis

We present the analysis of the first passage time problem on a finite interval for the generalized Wiener process that is driven by L\'evy stable noises. The complexity of the first passage time statistics (mean first passage time, cumulative first passage time distribution) is elucidated together with a discussion of the proper setup of corresponding boundary conditions that correctly yield the statistics of first passages for these non-Gaussian noises. The validity of the method is tested numerically and compared against analytical formulae when the stability index $\alpha$ approaches 2, recovering in this limit the standard results for the Fokker-Planck dynamics driven by Gaussian white noise.Comment: 9 pages, 13 figure

First passage time problem for biased continuous-time random walks

We study the first passage time (FPT) problem for biased continuous time random walks. Using the recently formulated framework of fractional Fokker-Planck equations, we obtain the Laplace transform of the FPT density function when the bias is constant. When the bias depends linearly on the position, the full FPT density function is derived in terms of Hermite polynomials and generalized Mittag-Leffler functions.Comment: 12 page

The first passage problem for diffusion through a cylindrical pore with sticky walls

We calculate the first passage time distribution for diffusion through a cylindrical pore with sticky walls. A particle diffusively explores the interior of the pore through a series of binding and unbinding events with the cylinder wall. Through a diagrammatic expansion we obtain first passage time statistics for the particle's exit from the pore. Connections between the model and nucleocytoplasmic transport in cells are discussed.Comment: v2: 13 pages, 6 figures, substantial revision

Tertiles and the time constant

We consider planar first-passage percolation and show that the time constant can be bounded by multiples of the first and second tertiles of the weight distribution. As a consequence we obtain a counter-example to a problem proposed by Alm and Deijfen.Comment: 2 page