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arXiv · 0904.4219

Algorithms for Brownian first passage time estimation

Artur B. Adib
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Abstract

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.

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Artur B. Adib. 2009-04-27. Algorithms for Brownian first passage time estimation. https://doi.org/10.1103/physreve.80.036706

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