Numerous applications all the way from biology and physics to economics depend on the density of first crossings over a boundary. Motivated by the lack of analytical tools for computing first-passage time densities (FPTDs) for complex problems, we propose a new simple method based on the Independent Interval Approximation (IIA). We generalise previous formulations of the IIA to handle non-smooth processes, and derive a closed form expression for the FPTD in Laplace and $z$-transform space for arbitrary boundary and starting points in one dimension. We focus on Markov processes for which the IIA is exact. To apply our equations, we calculate the FPTD in two cases: the Ornstein-Uhlenbeck process and the discrete time Brownian walk. Our results are in good agreement with Langevin dynamics simulations.
Motivated by the dynamics of resonant neurons we consider a differentiable, non-Markovian random process $x(t)$ and particularly the time after which it will reach a certain level $x_b$. The probability density of this first passage time is expressed as infinite series of integrals over joint probability densities of $x$ and its velocity $\dot{x}$. Approximating higher order terms of this series through the lower order ones leads to closed expressions in the cases of vanishing and moderate correlations between subsequent crossings of $x_b$. For a linear oscillator driven by white or coloured G…
We discuss the first passage time problem in the semi-infinite interval, for homogeneous stochastic Markov processes with L{é}vy stable jump length distributions $λ(x)\sim\ell^α/|x|^{1+α}$ ($|x|\gg\ell$), namely, L{é}vy flights (LFs). In particular, we demonstrate that the method of images leads to a result, which violates a theorem due to Sparre Andersen, according to which an arbitrary continuous and symmetric jump length distribution produces a first passage time density (FPTD) governed by the universal long-time decay $\sim t^{-3/2}$. Conversely, we show that for LFs the direct definition …
A hybrid asymptotic-numerical method is presented for obtaining the full probability distribution of capture times of a random walker by multiple small traps located inside a bounded two-dimensional domain with reflective boundaries. As motivation for this study, we calculate the variance in the capture time of a random walker by a single interior trap and determine this quantity to be comparable in magnitude to the mean. This implies that the mean is not necessarily reflective of typical capture times and that the full density must be determined. To solve the underlying diffusion equation, th…
Motivated by recent single molecule studies of proteins sliding on a DNA molecule, we explore the targeting dynamics of N particles ("proteins") sliding diffusively along a line ("DNA") in search of their target site (specific target sequence). At lower particle densities, one observes an expected reduction of the mean first passage time proportional to 1/N**2, with corrections at higher concentrations. We explicitly take adsorption and desorption effects, to and from the DNA, into account. For this general case, we also consider finite size effects, when the continuum approximation based on t…
We present general methods to exactly calculate mean-first passage quantities on self-similar networks defined recursively. In particular, we calculate the mean first-passage time and the splitting probabilities associated to a source and one or several targets; averaged quantities over a given set of sources (e.g., same-connectivity nodes) are also derived. The exact estimate of such quantities highlights the dependency of first-passage processes with respect to the source-target distance, which has recently revealed to be a key parameter to characterize transport in complex media. We explici…
In this paper, we consider the problem of mean first-passage time (MFPT) in quantum mechanics; the MFPT is the average time of the transition from a given initial state, passing through some intermediate states, to a given final state for the first time. We apply the method developed in statistical mechanics for calculating the MFPT of random walks to calculate the MFPT of a transition process. As applications, we (1) calculate the MFPT for multiple-state systems, (2) discuss transition processes occurring in an environment background, (3) consider a roundabout transition in a hydrogen atom, a…
In this paper, we consider discrete time random walks on the pseudofractal scale-free web (PSFW) and we study analytically the related first passage properties. First, we classify the nodes of the PSFW into different levels and propose a method to derive the generation function of the first passage probability from an arbitrary starting node to the absorbing domain, which is located at one or more nodes of low-level (i.e., nodes with large degree). Then, we calculate exactly the first passage probability, the survival probability, the mean and the variance of first passage time by using the ge…
We introduce a perturbative method to calculate all moments of the first-passage time distribution in stochastic one-dimensional processes which are subject to both white and coloured noise. This class of non-Markovian processes is at the centre of the study of thermal active matter, that is self-propelled particles subject to diffusion. The perturbation theory about the Markov process considers the effect of self-propulsion to be small compared to that of thermal fluctuations. To illustrate our method, we apply it to the case of active thermal particles (i) in a harmonic trap (ii) on a ring. …
We calculate, numerically, the residence times (and their distribution) of a Brownian particle in a two-well system under the action of a periodic, saw-tooth type, external field. We define hysteresis in the system. The hysteresis loop area is shown to be a good measure of synchronization of passages from one well to the other. We establish connection between this stochastic synchronization and stochastic resonance in the system.
The first passage time (FPT) distribution for random walk in complex networks is calculated through an asymptotic analysis. For network with size $N$ and short relaxation time $τ\ll N$, the computed mean first passage time (MFPT), which is inverse of the decay rate of FPT distribution, is inversely proportional to the degree of the destination. These results are verified numerically for the paradigmatic networks with excellent agreement. We show that the range of validity of the analytical results covers networks that have short relaxation time and high mean degree, which turn out to be valid …
We consider a Markovian jumping process with two absorbing barriers, for which the waiting-time distribution involves a position-dependent coefficient. We solve the Fokker-Planck equation with boundary conditions and calculate the mean first passage time (MFPT) which appears always finite, also for the subdiffusive case. Then, for the case of the jumping-size distribution in form of the Lévy distribution, we determine the probability density distributions and MFPT by means of numerical simulations. Dependence of the results on process parameters, as well as on the Lévy distribution width, is d…
Thermodynamics with thermodynamic variable first-passage time. II. Dynamics of explosive boiling of superheated liquid, critical indices, fractional calculus
Institute for Nuclear Research, pr. Nauki, 47 Kiev, Ukraine（乌克兰国家核科学研究所）
Motivated by a range of biological applications related to the transport of molecules in cells, we present a modular framework to treat first-passage problems for diffusion in partitioned spaces. The spatial domains can differ with respect to their diffusivity, geometry, and dimensionality, but can also refer to transport modes alternating between diffusive, driven, or anomalous motion. The approach relies on a coarse-graining of the motion by dissecting the trajectories on domain boundaries or when the mode of transport changes, yielding a small set of states. The time evolution of the reduce…
First passage time plays a fundamental role in dynamical characterization of stochastic processes. Crucially, our current understanding on the problem is almost entirely relies on the theoretical formulations, which assume the processes under consideration are Markovian, despite abundant non-Markovian dynamics found in complex systems. Here we introduce a simple and physically appealing analytical framework to calculate the first passage time statistics of non-Markovian walkers grounded in a fundamental principle of nonequilibrium statistical physics that connects the fluctuations in stochasti…
We study the diffusive motion of a test particle in a two-dimensional comb structure consisting of a main backbone channel with continuously distributed side branches, in the presence of stochastic Markovian resetting to the initial position of the particle. We assume that the motion along the infinitely long branches is biased by a confining potential. The crossover to the steady state is quantified in terms of a large deviation function, which is derived for the first time for comb structures in present paper. We show that the relaxation region is demarcated by a nonlinear "light-cone" beyon…
Fluctuations in stochastic systems are usually characterized by the full counting statistics, which analyzes the distribution of the number of events taking place in the fixed time interval. In an alternative approach, the distribution of the first-passage times, i.e. the time delays after which the counting variable reaches a certain threshold value, is studied. This paper presents the approach to calculate the first-passage time distribution in systems in which the analyzed current is associated with an arbitrary set of transitions within the Markovian network. Using this approach it is show…
We study the similarities and differences between different models concerning subdiffusion. More particularly, we calculate first passage time (FPT) distributions for subdiffusion, derived from Greens' functions of nonlinear equations obtained from Sharma-Mittal's, Tsallis's and Gauss's nonadditive entropies. Then we compare these with FPT distributions calculated from a fractional model using a subdiffusion equation with a fractional time derivative. All of Greens' functions give us exactly the same standard relation $<(Δx)^2> =2 D_αt^α$ which characterizes subdiffusion ($0<α<1$), but general…
We calculate the first passage time distribution for diffusion through a cylindrical pore with sticky walls. A particle diffusively explores the interior of the pore through a series of binding and unbinding events with the cylinder wall. Through a diagrammatic expansion we obtain first passage time statistics for the particle's exit from the pore. Connections between the model and nucleocytoplasmic transport in cells are discussed.
We use a first-passage time approach to study the statistics of the trapping times induced by persistent motion of active particles colliding with flat boundaries. The angular first-passage time distribution and mean first-passage time is calculated exactly for active Brownian and run-and-tumble particles and the results are compared. Theoretical predictions are in excellent agreement with Langevin simulations. Our results shed further light onto how active particles with different dynamics may be equivalent in the bulk, yet behave differently near boundaries or obstacles.
Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by time-dependent drift and diffusion coefficients. Modeling such systems requires solving the associated Fokker-Planck equation subject to an absorbing barrier. Transitional probabilities are derived via the method of images, whose applicability to time dependent problems is shown to be limited to state-independent drift and diffusion coefficients that only depend on…
We study various statistical properties of the double-dimer model, a generalization of the dimer model, on rectangular domains of the square lattice. We take advantage of the Grassmannian representation of the dimer model, first to calculate the probability distribution of the number of nontrivial loops around a cylinder, which is consistent with the previously known result, and then to calculate the expectation value of the number of loops surrounding two faces and the left-passage probability, both in the discrete and the continuum cases. We also briefly explain the calculation of some relat…
The mean first passage time, one of the important characteristics for a stochastic process, is often calculated assuming the observation time is infinite. However, in practice, the observation time, T, is always finite and the mean first passage time (MFPT) is dependent on the length of the observation time. In this work, we investigate the observation time dependence of the MFPT of a particle freely moving in the interval [-L,L] for a simple diffusion model and four different models of subdiffusion, the fractional diffusion equation (FDE), scaled Brown motion (SBM), fractional Brownian motion…
We use a lattice model to study first-passage time distributions of target finding events through complex environments with elongated fibers distributed with different anisotropies and volume occupation fractions. For isotropic systems and for low densities of aligned fibers, the three-dimensional search is a Poisson process with the first-passage time exponentially distributed with the most probable finding time at zero. At high enough densities of aligned fibers, elongated channels emerge, reducing the dynamics dimensionality to one dimension. We show how the shape and size of the channels m…
The explicit determinations of the mean first-passage time (MFPT) for trapping problem are limited to some simple structure, e.g., regular lattices and regular geometrical fractals, and determining MFPT for random walks on other media, especially complex real networks, is a theoretical challenge. In this paper, we investigate a simple random walk on the the pseudofractal scale-free web (PSFW) with a perfect trap located at a node with the highest degree, which simultaneously exhibits the remarkable scale-free and small-world properties observed in real networks. We obtain the exact solution fo…
The two-dimensional backward Fokker-Planck equation is used to calculate the mean first-passage times (MFPTs) of the magnetic moment of a nanoparticle driven by a rotating magnetic field. It is shown that a magnetic field that is rapidly rotating in the plane {\it perpendicular} to the easy axis of the nanoparticle governs the MFPTs just in the same way as a static magnetic field that is applied {\it along} the easy axis. Within this framework, the features of the magnetic relaxation and net magnetization of systems composed of ferromagnetic nanoparticles arising from the action of the rotatin…
Persistence, defined as the probability that a fluctuating signal has not reached a threshold up to a given observation time, plays a crucial role in the theory of random processes. It quantifies the kinetics of processes as varied as phase ordering, reaction diffusion or interface relaxation dynamics. The fact that persistence can decay algebraically with time with non trivial exponents has triggered a number of experimental and theoretical studies. However, general analytical methods to calculate persistence exponents cannot be applied to the ubiquitous case of non-Markovian systems relaxing…
We present exact results for the spectrum of the fractional Laplacian in a bounded domain and apply them to First Passage Time (FPT) Statistics of Lévy flights. We specifically show that the average is insufficient to describe the distribution of FPT, although it is the only quantity available in the existing literature. In particular, we show that the FPT distribution is not peaked around the average, and that knowledge of the whole distribution is necessary to describe this phenomenon. For this purpose, we provide an efficient method to calculate higher order cumulants and the whole distribu…
The first-passage time (FPT), defined as the time a random walker takes to reach a target point in a confining domain, is a key quantity in the theory of stochastic processes. Its importance comes from its crucial role to quantify the efficiency of processes as varied as diffusion-limited reactions, target search processes or spreading of diseases. Most methods to determine the FPT properties in confined domains have been limited to Markovian (memoryless) processes. However, as soon as the random walker interacts with its environment, memory effects can not be neglected. Examples of non Markov…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for analyzing extreme value statistics of ergodic reversible Markov processes in confining potentials on the hand of the underlying relaxation eigenspectra. We derive a chain of inequalities, which bounds the long-time asymptotics of first passage densities, and thereby extrema, from above and from below. The bounds involve a time integral of the transition probab…
The time-dependent barrier passage of an anomalous system-reservoir coupling non-equilibrium open environment is studied where the heat bath is modulated by an external noise. The time-dependent barrier passing probability is obtained analytically by solving the generalized Langevin equation. The escaping rate and effective transmission coefficient are calculated by using of the reactive flux method in the particular case of external $δ$-correlated noise modulated internal Ornstein-Uhlenbeck process. It is found that not all the cases of external noise modulating is harmful to the rate process…
We calculate the mean shape of transition paths and first-passage paths based on the one-dimensional Fokker-Planck equation in an arbitrary free energy landscape including a general inhomogeneous diffusivity profile. The transition path ensemble is the collection of all paths that do not revisit the start position $x_A$ and that terminate when first reaching the final position $x_B$. In contrast, a first-passage path can revisit but not cross its start position $x_A$ before it terminates at $x_B$. Our theoretical framework employs the forward and backward Fokker-Planck equations as well as fir…
We study a stochastic process $X_t$ related to the Bessel and the Rayleigh processes, with various applications in physics, chemistry, biology, economics, finance and other fields. The stochastic differential equation is $dX_t = (nD/X_t) dt + \sqrt{2D} dW_t$, where $W_t$ is the Wiener process. Due to the singularity of the drift term for $X_t = 0$, different natures of boundary at the origin arise depending on the real parameter $n$: entrance, exit, and regular. For each of them we calculate analytically and numerically the probability density functions of first-passage times or first-exit tim…
We consider a model system in which anomalous diffusion is generated by superposition of underlying linear modes with a broad range of relaxation times. In the language of Gaussian polymers, our model corresponds to Rouse (Fourier) modes whose friction coefficients scale as wavenumber to the power $2-z$. A single (tagged) monomer then executes subdiffusion over a broad range of time scales, and its mean square displacement increases as $t^α$ with $α=1/z$. To demonstrate non-trivial aspects of the model, we numerically study the absorption of the tagged particle in one dimension near an absorbi…
We consider a one-dimensional fluctuating interfacial profile governed by the Edwards-Wilkinson or the stochastic Mullins-Herring equation for periodic, standard Dirichlet and Dirichlet no-flux boundary conditions. The minimum action path of an interfacial fluctuation conditioned to reach a given maximum height $M$ at a finite (first-passage) time $T$ is calculated within the weak-noise approximation. Dynamic and static scaling functions for the profile shape are obtained in the transient and the equilibrium regime, i.e., for first-passage times $T$ smaller or lager than the characteristic rel…
Subdiffusive motion of tracer particles in complex crowded environments, such as biological cells, has been shown to be widepsread. This deviation from brownian motion is usually characterized by a sublinear time dependence of the mean square displacement (MSD). However, subdiffusive behavior can stem from different microscopic scenarios, which can not be identified solely by the MSD data. In this paper we present a theoretical framework which permits to calculate analytically first-passage observables (mean first-passage times, splitting probabilities and occupation times distributions) in di…
We combine the processes of resetting and first-passage to define \emph{first-passage resetting}, where the resetting of a random walk to a fixed position is triggered by a first-passage event of the walk itself. In an infinite domain, first-passage resetting of isotropic diffusion is non-stationary, with the number of resetting events growing with time as $\sqrt{t}$. We calculate the resulting spatial probability distribution of the particle analytically, and also obtain this distribution by a geometric path decomposition. In a finite interval, we define an optimization problem that is contro…
Freidlin-Wentzell theory of large deviations can be used to compute the likelihood of extreme or rare events in stochastic dynamical systems via the solution of an optimization problem. The approach gives exponential estimates that often need to be refined via calculation of a prefactor. Here it is shown how to perform these computations in practice. Specifically, sharp asymptotic estimates are derived for expectations, probabilities, and mean first passage times in a form that is geared towards numerical purposes: they require solving well-posed matrix Riccati equations involving the minimize…
We calculate analytically the probability density $P(t_m)$ of the time $t_m$ at which a continuous-time Brownian motion (with and without drift) attains its maximum before passing through the origin for the first time. We also compute the joint probability density $P(M,t_m)$ of the maximum $M$ and $t_m$. In the driftless case, we find that $P(t_m)$ has power-law tails: $P(t_m)\sim t_m^{-3/2}$ for large $t_m$ and $P(t_m)\sim t_m^{-1/2}$ for small $t_m$. In presence of a drift towards the origin, $P(t_m)$ decays exponentially for large $t_m$. The results from numerical simulations are in excelle…
In this paper, we study random walks on a small-world scale-free network, also called as pseudofractal scale-free web (PSFW), and analyze the volatilities of first passage time (FPT) and first return time (FRT) by using the variance and the reduced moment as the measures. Note that the FRT and FPT are deeply affected by the starting or target site. We don't intend to enumerate all the possible cases and analyze them. We only study the volatilities of FRT for a given hub (i.e., node with highest degree) and the volatilities of the global FPT (GFPT) to a given hub, which is the average of the FP…
We consider a general class of maps of the interval having Lyapunov subexponential instability $|δx_{t}|\sim|δx_{0}|\exp[Λ_{t}(x_{0})ζ(t)]$, where $ζ(t)$ grows sublinearly as $t\rightarrow\infty$. We outline here a scheme [J. Stat. Phys. {\bf 154}, 988 (2014)] whereby the choice of a characteristic function automatically defines the map equation and corresponding growth rate $ζ(t)$. This matching approach is based on the infinite measure property of such systems. We show that the average information that is necessary to record without ambiguity a trajectory of the system tends to $\langleΛ\ran…
Motivated by nucleation and molecular aggregation in physical, chemical and biological settings, we present a thorough analysis of the general problem of stochastic self-assembly of a fixed number of identical particles in a finite volume. We derive the Backward Kolmogorov equation (BKE) for the cluster probability distribution. From the BKE we study the distribution of times it takes for a single maximal cluster to be completed, starting from any initial particle configuration. In the limits of slow and fast self-assembly, we develop analytical approaches to calculate the mean cluster formati…
A lot of previous work showed that the sectional mean first-passage time (SMFPT), i.e., the average of mean first-passage time (MFPT) for random walks to a given hub node (node with maximum degree) averaged over all starting points in scale-free small-world networks exhibits a sublinear or linear dependence on network order $N$ (number of nodes), which indicates that hub nodes are very efficient in receiving information if one looks upon the random walker as an information messenger. Thus far, the efficiency of a hub node sending information on scale-free small-world networks has not been addr…
We present analytical results for the distribution of first-passage (FP) times of random walks (RWs) on random regular graphs that consist of $N$ nodes of degree $c \ge 3$. Starting from a random initial node at time $t=0$, at each time step $t \ge 1$ an RW hops into a random neighbor of its previous node. In some of the time steps the RW may hop into a yet-unvisited node while in other time steps it may revisit a node that has already been visited before. We calculate the distribution $P( T_{\rm FP} = t )$ of first-passage times from a random initial node $i$ to a random target node $j$, wher…
In this work we propose a novel method to calculate mean first-passage times (MFPTs) for random walks on graphs, based on a dimensionality reduction technique for Markov State Models, known as local-equilibrium (LE). We show that for a broad class of graphs, which includes trees, LE coarse-graining preserves the MFPTs between certain nodes, upon making a suitable choice of the coarse-grained states (or clusters). We prove that this relation is exact for graphs that can be coarse-grained into a one-dimensional lattice where each cluster connects to the lattice only through a single node of the …
