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 minimizer of the Freidlin-Wentzell action as input, either forward or backward in time with appropriate initial or final conditions tailored to the estimate at hand. The usefulness of our approach is illustrated on several examples. In particular, invariant measure probabilities and mean first passage times are calculated in models involving stochastic partial differential equations of reaction-advection-diffusion type.
We give exact and explicit expressions of mean first-passage times for random walks in a rectangular domain, in both cases of reflecting boundary conditions and periodic boundary conditions. The situations with one or two absorbing targets are considered.
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…
We investigate the knotting probability after a local strand passage is performed in an unknotted self-avoiding polygon on the simple cubic lattice. We assume that two polygon segments have already been brought close together for the purpose of performing a strand passage, and model this using Theta-SAPs, polygons that contain the pattern Theta at a fixed location. It is proved that the number of n-edge Theta-SAPs grows exponentially (with n) at the same rate as the total number of n-edge unknotted self-avoiding polygons, and that the same holds for subsets of n-edge Theta-SAPs that yield a sp…
Spatial step edge fluctuations on a multi-component surface of Al/Si(111)-(root3 x root3) were measured via scanning tunneling microscopy over a temperature range of 720K-1070K, for step lengths of L = 65-160 nm. Even though the time scale of fluctuations of steps on this surface varies by orders of magnitude over the indicated temperature ranges, measured first-passage spatial persistence and survival probabilities are temperature independent. The power law functional form for spatial persistence probabilities is confirmed and the symmetric spatial persistence exponent is measured to be theta…
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…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a sphere. In both cases, we also discuss the case of two targets, including splitting probabilities, and conditional mean first-passage times. In addition, we study the higher-order moments and the full distribution of the first-passage time. These results significantly extend our earlier contribution [Phys. Rev. Lett. 95, 260601].
Exact collective first-passage statistics of N trail-interacting walkers
Laboratoire Jean Perrin, CNRS/Sorbonne Université（让·佩兰实验室，法国国家科学研究中心/索邦大学）；Collège de France（法兰西公学院）；Laboratoire de Physique Théorique de la Matière Condensée, CNRS/Sorbonne Université（凝聚态物质理论物理实验室，法国国家科学研究中心/索邦大学）
We consider a Brownian motion on a general graph, that starts at time t=0 from some vertex O and stops at time t somewhere on the graph. Denoting by g the last time when O is reached, we establish a simple expression for the Laplace Transform, L, of the probability density of g. We discuss this result for some special graphs like star, ring, tree or square lattice. Finally, we show that L can also be expressed in terms of primitive orbits when, for any vertex, all the exit probabilities are equal.
We consider a Brownian particle diffusing in a one dimensional interval with absorbing end points. We study the ramifications when such motion is interrupted and restarted from the same initial configuration. We provide a comprehensive study of the first passage properties of this trapping phenomena. We compute the mean first passage time and derive the criterion upon which restart always expedites the underlying completion. We show how this set-up is a manifestation of a success-failure problem. We obtain the success and failure rates and relate them with the splitting probabilities, namely, …
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…
For first passage percolation on $\mathbb{Z}^2$ with i.i.d. bounded edge weights, we consider the upper tail large deviation event; i.e., the rare situation where the first passage time between two points at distance $n$, is macroscopically larger than typical. It was shown by Kesten (1986) that the probability of this event decays as $\exp (-Θ(n^2))$. However the question of existence of the rate function i.e., whether the log-probability normalized by $n^2$ tends to a limit, had remained open. We show that under some additional mild regularity assumption on the passage time distribution, the…
We derive an approximate but explicit formula for the Mean First Passage Time of a random walker between a source and a target node of a directed and weighted network. The formula does not require any matrix inversion, and it takes as only input the transition probabilities into the target node. It is derived from the calculation of the average resolvent of a deformed ensemble of random sub-stochastic matrices $H=\langle H\rangle +δH$, with $\langle H\rangle$ rank-$1$ and non-negative. The accuracy of the formula depends on the spectral gap of the reduced transition matrix, and it is tested nu…
We survey recent results on first-passage processes in unbounded cones and their applications to ordering of particles undergoing Brownian motion in one dimension. We first discuss the survival probability S(t) that a diffusing particle, in arbitrary spatial dimension, remains inside a conical domain up to time t. In general, this quantity decays algebraically S ~ t^{-beta} in the long-time limit. The exponent beta depends on the opening angle of the cone and the spatial dimension, and it is root of a transcendental equation involving the associated Legendre functions. The exponent becomes a f…
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…
Exact First-Passage Time Response Theory from Steady-State Response
The University of Tokyo（东京大学）；Max Planck Institute for the Physics of Complex Systems（马克斯·普朗克复杂系统物理研究所）；Max Planck Institute of Molecular Cell Biology and Genetics（马克斯·普朗克分子细胞生物学与遗传学研究所）
We study the statistics of infima, stopping times and passage probabilities of entropy production in nonequilibrium steady states, and show that they are universal. We consider two examples of stopping times: first-passage times of entropy production and waiting times of stochastic processes, which are the times when a system reaches for the first time a given state. Our main results are: (i) the distribution of the global infimum of entropy production is exponential with mean equal to minus Boltzmann's constant; (ii) we find the exact expressions for the passage probabilities of entropy produ…
We use a stochastic birth-death model for a population of cells to estimate the normal tissue complication probability (NTCP) under a particular radiotherapy protocol. We specifically allow for interaction between cells, via a nonlinear logistic growth model. To capture some of the effects of intrinsic noise in the population we develop several approximations of NTCP, using Kramers-Moyal expansion techniques. These approaches provide an approximation to the first and second moments of a general first-passage time problem in the limit of large, but finite populations. We use this method to stud…
We present a study of both the ``Iterative Procedure'' and the ``$β\to β'$ transformation'', proposed by Tsallis et al (Physica A261, 534) to find the probabilities $p_i$ of a system to be in a state with energy $ε_i$, within the framework of a generalized statistical mechanics. Using stability and convexity arguments, we argue that the iterative procedure does not always provide the right temperature dependence of thermodynamic observables. In addition, we show how to get the correct answers from the ``$β\to β'$ transformation''. Our results provide an evidence that the Tsallis statistics wit…
We consider the dynamics of lattice random walks with resetting. The walker moving randomly on a lattice of arbitrary dimensions resets at every time step to a given site with a constant probability $r$. We construct a discrete renewal equation and present closed-form expressions for different quantities of the resetting dynamics in terms of the underlying reset-free propagator or Green's function. We apply our formalism to the biased random walk dynamics in one-dimensional unbounded space and show how one recovers in the continuous limits results for diffusion with resetting. The resetting dy…
Kinesins are processive motor proteins that move along microtubules in a stepwise manner, and their motion is powered by the hydrolysis of ATP. Recent experiments have investigated the coupling between the individual steps of single kinesin molecules and ATP hydrolysis, taking explicitly into account forward steps, backward steps and detachments. A theoretical study of mechanochemical coupling in kinesins, which extends the approach used successfully to describe the dynamics of conventional motor proteins, is presented. The possibility of irreversible detachments of kinesins from the microtubu…
Recently noticed ability of restart to reduce the expected completion time of first-passage processes allows appealing opportunities for performance improvement in a variety of settings. However, complex stochastic processes often exhibit several possible scenarios of completion which are not equally desirable in terms of efficiency. Here we show that restart may have profound consequences on the splitting probabilities of a Bernoulli-like first-passage process, i.e. of a process which can end with one of two outcomes. Particularly intriguing in this respect is the class of problems where a ca…
We study the first-passage properties of a random walk in the unit interval in which the length of a single step is uniformly distributed over the finite range [-a,a]. For a of the order of one, the exit probabilities to each edge of the interval and the exit time from the interval exhibit anomalous properties stemming from the change in the minimum number of steps to escape the interval as a function of the starting point. As a decreases, first-passage properties approach those of continuum diffusion, but non-diffusive effects remain because of residual discreteness effects
Results of analytic and numerical investigations of first-passage properties of equilibrium fluctuations of monatomic steps on a vicinal surface are reviewed. Both temporal and spatial persistence and survival probabilities, as well as the probability of persistent large deviations are considered. Results of experiments in which dynamical scanning tunneling microscopy is used to evaluate these first-passage properties for steps with different microscopic mechanisms of mass transport are also presented and interpreted in terms of theoretical predictions for appropriate models. Effects of discre…
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…
Characterization of composite materials, whose properties vary in space over microscopic scales, has become a problem of broad interdisciplinary interest. In particular, estimation of the inhomogeneous transport coefficients, e.g. the diffusion coefficient or the heat conductivity which shape important processes in biology and engineering, is a challenging task. The analysis of such systems is further complicated, because two alternative formulations of the inhomogeneous transport equations exist in the literature -- the Smoluchowski and Fokker-Planck equations, which are also related to the s…
In this work we consider a simple random walk embedded in a generic branched structure and we find a close-form formula to calculate the hitting time $H\left(i,f\right)$ between two arbitrary nodes $i$ and $j$. We then use this formula to obtain the set of hitting times $\left\{ H\left(i,f\right)\right\} $ for combs and their expectation values, namely the mean-first passage time $\left( \mbox{MFPT}_{f} \right)$, where the average is performed over the initial node while the final node $f$ is given, and the global mean-first passage time $\left( \mbox{GMFPT} \right)$, where the average is perf…
