First passages in bounded domains: when is the mean first passage time meaningful? 2012

Thiago G Mattos, and Carlos Mejía-Monasterio, and Ralf Metzler, and Gleb Oshanin
Max Planck Institute for Intelligent Systems, Heisenbergstrasse 3, 70569 Stuttgart, Germany. tgmattos@is.mpg.de

We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-dimensional domains of different shapes and configurations of the adsorbing and reflecting boundaries. From extensive numerical analysis we obtain the probability P(ω) distribution of the random variable ω=τ(1)/(τ(1)+τ(2)), which is a measure for how similar the first passage times τ(1) and τ(2) are of two independent realizations of a Brownian walk starting at the same location. We construct a chart for each domain, determining whether P(ω) represents a unimodal, bell-shaped form, or a bimodal, M-shaped behavior. While in the former case the mean first passage time (MFPT) is a valid characteristic of the first passage behavior, in the latter case it is an insufficient measure for the process. Strikingly we find a distinct turnover between the two modes of P(ω), characteristic for the domain shape and the respective location of absorbing and reflective boundaries. Our results demonstrate that large fluctuations of the first passage times may occur frequently in two-dimensional domains, rendering quite vague the general use of the MFPT as a robust measure of the actual behavior even in bounded domains, in which all moments of the first passage distribution exist.

UI MeSH Term Description Entries
D008962 Models, Theoretical Theoretical representations that simulate the behavior or activity of systems, processes, or phenomena. They include the use of mathematical equations, computers, and other electronic equipment. Experimental Model,Experimental Models,Mathematical Model,Model, Experimental,Models (Theoretical),Models, Experimental,Models, Theoretic,Theoretical Study,Mathematical Models,Model (Theoretical),Model, Mathematical,Model, Theoretical,Models, Mathematical,Studies, Theoretical,Study, Theoretical,Theoretical Model,Theoretical Models,Theoretical Studies
D009010 Monte Carlo Method In statistics, a technique for numerically approximating the solution of a mathematical problem by studying the distribution of some random variable, often generated by a computer. The name alludes to the randomness characteristic of the games of chance played at the gambling casinos in Monte Carlo. (From Random House Unabridged Dictionary, 2d ed, 1993) Method, Monte Carlo
D009038 Motion Physical motion, i.e., a change in position of a body or subject as a result of an external force. It is distinguished from MOVEMENT, a process resulting from biological activity. Motions

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