### Abstract

The motion of a particle acted on by the deterministic force vector b(x(t)) and perturbed by random forces of white noise type is considered. Such a particle will leave any bounded domain OMEGA in finite time. We consider the case where b is such tat the boundary consists of a trajectory or trajectories of the system dx/dt equals b(x(t)). Thus the cases of an unstable limit cycle and a center are considered. Expressions are derived for the mean first passage time to the boundary and the probability distribution of exit points on the boundary.

Original language | English (US) |
---|---|

Pages (from-to) | 822-834 |

Number of pages | 13 |

Journal | SIAM Journal on Applied Mathematics |

Volume | 42 |

Issue number | 4 |

DOIs | |

State | Published - Jan 1 1982 |

### Fingerprint

### ASJC Scopus subject areas

- Applied Mathematics

### Cite this

*SIAM Journal on Applied Mathematics*,

*42*(4), 822-834. https://doi.org/10.1137/0142057

}

*SIAM Journal on Applied Mathematics*, vol. 42, no. 4, pp. 822-834. https://doi.org/10.1137/0142057

**DIFFUSION ACROSS CHARACTERISTIC BOUNDARIES.** / Matkowsky, B. J.; Schuss, Z.

Research output: Contribution to journal › Article

TY - JOUR

T1 - DIFFUSION ACROSS CHARACTERISTIC BOUNDARIES.

AU - Matkowsky, B. J.

AU - Schuss, Z.

PY - 1982/1/1

Y1 - 1982/1/1

N2 - The motion of a particle acted on by the deterministic force vector b(x(t)) and perturbed by random forces of white noise type is considered. Such a particle will leave any bounded domain OMEGA in finite time. We consider the case where b is such tat the boundary consists of a trajectory or trajectories of the system dx/dt equals b(x(t)). Thus the cases of an unstable limit cycle and a center are considered. Expressions are derived for the mean first passage time to the boundary and the probability distribution of exit points on the boundary.

AB - The motion of a particle acted on by the deterministic force vector b(x(t)) and perturbed by random forces of white noise type is considered. Such a particle will leave any bounded domain OMEGA in finite time. We consider the case where b is such tat the boundary consists of a trajectory or trajectories of the system dx/dt equals b(x(t)). Thus the cases of an unstable limit cycle and a center are considered. Expressions are derived for the mean first passage time to the boundary and the probability distribution of exit points on the boundary.

UR - http://www.scopus.com/inward/record.url?scp=0020167827&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0020167827&partnerID=8YFLogxK

U2 - 10.1137/0142057

DO - 10.1137/0142057

M3 - Article

AN - SCOPUS:0020167827

VL - 42

SP - 822

EP - 834

JO - SIAM Journal on Applied Mathematics

JF - SIAM Journal on Applied Mathematics

SN - 0036-1399

IS - 4

ER -