DIFFUSION ACROSS CHARACTERISTIC BOUNDARIES.

B. J. Matkowsky*, Z. Schuss

*Corresponding author for this work

Research output: Contribution to journalArticle

38 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)822-834
Number of pages13
JournalSIAM Journal on Applied Mathematics
Volume42
Issue number4
DOIs
StatePublished - Jan 1 1982

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Trajectories
White noise
Trajectory
Probability distributions
Mean First Passage Time
Limit Cycle
Bounded Domain
Probability Distribution
Unstable
Motion

ASJC Scopus subject areas

  • Applied Mathematics

Cite this

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

In: SIAM Journal on Applied Mathematics, Vol. 42, No. 4, 01.01.1982, p. 822-834.

Research output: Contribution to journalArticle

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