DIFFUSION ACROSS CHARACTERISTIC BOUNDARIES.

B. J. Matkowsky; Z. Schuss

doi:10.1137/0142057

DIFFUSION ACROSS CHARACTERISTIC BOUNDARIES.

B. J. Matkowsky^*, Z. Schuss

^*Corresponding author for this work

Engineering Sciences and Applied Mathematics

Research output: Contribution to journal › Article › peer-review

45 Scopus citations

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	https://doi.org/10.1137/0142057
State	Published - Jan 1 1982

ASJC Scopus subject areas

Applied Mathematics

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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.

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DIFFUSION ACROSS CHARACTERISTIC BOUNDARIES.

Abstract

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