These notes are based on the lectures that I gave (virtually) at the Bruneck Summer School in 2021 on first-passage processes and some applications of the basic theory. I begin by defining what is a first-passage process and presenting the connection between the first-passage probability and the familiar occupation probability. Some basic features of first passage on the semi-infinite line and a finite interval are then discussed, such as splitting probabilities and first-passage times. I also treat the fundamental connection between first passage and electrostatics. A number of applications of first-passage processes are then presented, including the hitting probability for a sphere in greater than two dimensions, reaction rate theory and its extension to receptors on a cell surface, first-passage inside an infinite absorbing wedge in two dimensions, stochastic hunting processes in one dimension, the survival of a diffusing particle in an expanding interval, and finally the dynamics of the classic birth-death process.
Mean first passage times of higher-dimensional velocity jump processes
California State University at Northridge（北岭加州州立大学）；University of California at Los Angeles（加利福尼亚大学洛杉矶分校）；University of Notre Dame（圣母大学）；University of Alberta（阿尔伯塔大学）
We study the first passage time processes of anomalous diffusion on self similar curves in two dimensions. The scaling properties of the mean square displacement and mean first passage time of the ballistic motion, fractional Brownian motion and subordinated walk on different fractal curves (loop erased random walk, harmonic explorer and percolation front) are derived. We also define natural parametrized subordinated Schramm Loewner evolution (NS-SLE) as a mathematical tool that can model diffusion on fractal curves. The scaling properties of the mean square displacement and mean first passage…
Many out of equilibrium phenomena, such as diffusion-limited reactions or target search processes, are controlled by first-passage events. So far the general determination of the mean first-passage time (FPT) to a target in confinement has left aside aging processes, involved in contexts as varied as glassy dynamics, tracer diffusion in biological membranes or transport of cold atoms in optical lattices. Here we consider general non-Markovian scale-invariant processes in arbitrary dimension, displaying aging, and demonstrate that all the moments of the FPT obey universal scalings with the conf…
First passage under restart has recently emerged as a conceptual framework to study various stochastic processes under restart mechanism. Emanating from the canonical diffusion problem by Evans and Majumdar, restart has been shown to outperform the completion of many first passage processes which otherwise would take longer time to finish. However, most of the studies so far assumed continuous time underlying first passage time processes and moreover considered continuous time resetting restricting out restart processes broken up into synchronized time steps. To bridge this gap, in this paper,…
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…
We derive a thermodynamic uncertainty relation for first passage processes in quantum Markov chains. We consider first passage processes that stop after a fixed number of jumps, which contrasts with typical quantum Markov chains which end at a fixed time. We obtain bounds for the observables of the first passage processes in quantum Markov chains by the Loschmidt echo, which quantifies the extent of irreversibility in quantum many-body systems. Considering a particular case, we show that the lower bound corresponds to the quantum Fisher information, which plays a fundamental role in uncertaint…
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 II…
First passage under restart has recently emerged as a conceptual framework suitable for the description of a wide range of phenomena, but the endless variety of ways in which restart mechanisms and first passage processes mix and match hindered the identification of unifying principles and general truths. Hope that these exist came from a recently discovered universality displayed by processes under optimal, constant rate, restart---but extensions and generalizations proved challenging as they marry arbitrarily complex processes and restart mechanisms. To address this challenge, we develop a g…
We derive a functional equation for the mean first-passage time (MFPT) of a generic self-similar Markovian continuous process to a target in a one-dimensional domain and obtain its exact solution. We show that the obtained expression of the MFPT for continuous processes is actually different from the large system size limit of the MFPT for discrete jump processes allowing leapovers. In the case considered here, the asymptotic MFPT admits non-vanishing corrections, which we call residual MFPT. The case of L/'evy flights with diverging variance of jump lengths is investigated in detail, in parti…
A recursive formula for the $n^\text{th}$ survival function and the $n^\text{th}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^\text{th}$-to-default CDS
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes research. They also have relevant applications, for example, in many fields of finance such as the assessment of the default risk for firms' assets. By using some explicit examples, in this paper we will show that the tail of the First Passage Time distribution crucially depends on the correlation properties of the process and it is independent from its stationary…
The first passage is a generic concept for quantifying when a random quantity such as the position of a diffusing molecule or the value of a stock crosses a preset threshold (target) for the first time. The last decade saw an enlightening series of new results focusing mostly on the so-called mean and global first passage time (MFPT and GFPT, respectively) of such processes. Here we push the understanding of first passage processes a step further. For a simple heterogeneous system we derive rigorously the complete distribution of first passage times (FPTs). Our results demonstrate that the typ…
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…
Stochastic synthesis-degradation processes: first-passage properties and connections with resetting
Pritzker School of Molecular Engineering, University of Chicago（芝加哥大学普里茨克分子工程学院）；Instituto de Física, Universidad Nacional Autónoma de México（墨西哥国立自治大学物理研究所）
We uncover a duality between relaxation and first passage processes in ergodic reversible Markovian dynamics in both discrete and continuous state-space. The duality exists in the form of a spectral interlacing -- the respective time scales of relaxation and first passage are shown to interlace. Our canonical theory allows for the first time to determine the full first passage time distribution analytically from the simpler relaxation eigenspectrum. The duality is derived and proven rigorously for both discrete state Markov processes in arbitrary dimension and effectively one-dimensional diffu…
Non-equilibrium and first-passage properties of generalized Ornstein-Uhlenbeck processes under stochastic resetting
Moscow Institute of Electronics and Mathematics, National Research University Higher School of Economics（莫斯科电子与数学研究所，国立高等经济大学）；Chemistry Department, M.V.Lomonosov Moscow State University（莫斯科大学化学系）
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…
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…
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…
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. …
Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in general have been addressed in Statistical Physics. In particular, there now exist a very large range of applications of stochastic processes in various disciplines. Here, we highlight some of the advances in stochastic processes prompted by novel experimental methods such as superresolution microscopy. Here we provide a summary of some of the recent developments …
Often sharp changes in cellular behavior are triggered by thresholded events, i.e., by the attainment of a threshold value of a relevant cellular or molecular dynamical variable. Since the governing variable itself typically undergoes noisy or stochastic dynamics, there is a corresponding variability in the times when the same change occurs in each cell of a population. This time is called the "first passage" time and the corresponding process is a "first passage" (FP) process, referring to the event when a random variable first passes the threshold value. In this review we first present and e…
We present a heuristic derivation of the first passage time exponent for the integral of a random walk [Y. G. Sinai, Theor. Math. Phys. {\bf 90}, 219 (1992)]. Building on this derivation, we construct an estimation scheme to understand the first passage time exponent for the integral of the integral of a random walk, which is numerically observed to be $0.220\pm0.001$. We discuss the implications of this estimation scheme for the $n{\rm th}$ integral of a random walk. For completeness, we also address the $n=\infty$ case. Finally, we explore an application of these processes to an extended, el…
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…
Subdiffusion equation and molecule survival equation, both with Caputo fractional time derivatives with respect to another functions $g_1$ and $g_2$, respectively, are used to describe diffusion of a molecule that can disappear at any time with a constant probability. The process can be interpreted as ``ordinary'' subdiffusion and ``ordinary'' molecule survival process in which timescales are changed by the functions $g_1$ and $g_2$. We derive the first-passage time distribution for the process. The mutual influence of subdiffusion and molecule vanishing processes can be included in the model …
Evaluating the completion time of a random algorithm or a running stochastic process is a valuable tip not only from a purely theoretical, but also pragmatic point of view. In the formal sense, this kind of a task is specified in terms of the first-passage time statistics. Although first-passage properties of diffusive processes, usually modeled by different types of the linear differential equations, are permanently explored with unflagging intensity, there still exists noticeable niche in this subject concerning the study of the non-linear diffusive processes. Therefore, the objective of the…
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 …
We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-dimensional domains of different shapes and configurations of the adsorbing and reflecting boundaries. From extensive numerical analysis we obtain the probability P(ω) distribution of the random variable ω=τ_1/(τ_1+τ_2), which is a measure for how similar the first passage times τ_1 and τ_2 are of two independent realisations of a Brownian walk starting at the same location. We construct a chart for each domain, determining whether P(ω) represents a unimodal, bell-shaped form, or a bimodal, M-shap…
Relaxation and first passage processes are the pillars of kinetics in condensed matter, polymeric and single-molecule systems. Yet, an explicit connection between relaxation and first passage time-scales so far remained elusive. Here we prove a duality between them in the form of an interlacing of spectra. In the basic form the duality holds for reversible Markov processes to effectively one-dimensional targets. The exploration of a triple-well potential is analyzed to demonstrate how the duality allows for an intuitive understanding of first passage trajectories in terms of relaxational eigen…
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…
Coherent stochastic resonance is explained in terms of first passage time density functions. Scaling relation between first passage time density functions at resonance for different lengths of the medium is obtained. A formula for first passage time density function at resonance is derived in terms of two universal functions, which demonstrates the universal feature of coherent stochastic resonance. A simple approximate expression for first passage time density function at resonance is proposed which is shown to explain the behavior at resonance fairly accurately.
We correct a previously erroneous calculation [Phys. Rev. E 62, 6065 (2000)] of the mean first passage time of a subdiffusive process to reach either end of a finite interval in one dimension. The mean first passage time is in fact infinite.
Comparison of extended irreversible thermodynamics and nonequilibrium statistical operator method with thermodynamics based on a distribution containing the first-passage time
We study the first-passage time to the origin of a mortal Brownian particle, with mortality rate $ μ$, diffusing in one dimension. The particle starts its motion from $ x>0 $ and it is subject to stochastic resetting with constant rate $ r $. We first unveil the relation between the probability of reaching the target and the mean first-passage time of the corresponding problem in absence of mortality, which allows us to deduce under which conditions the former can be increased by adjusting the restart rate. We then consider the first-passage time conditioned on the event that the particle reac…
An approach was developed to describe the first passage time (FPT) in multistep stochastic processes with discrete states governed by a master equation (ME). The approach is an extension of the totally absorbing boundary approach given for calculation of FPT in one-step processes (Van Kampen 2007) to include multistep processes where jumps are not restricted to adjacent sites. In addition, a Fokker-Planck equation (FPE) was derived from the multistep ME, assuming the continuity of the state variable. The developed approach and an FPE based approach (Gardiner 2004) were used to find the mean fi…
This is the preface to the special issue of the Journal of Physics A: Mathematical and Theoretical, entitled "New trends in first-passage methods and applications in the life sciences and engineering"
First passage under restart with branching is proposed as a generalization of first passage under restart. Strong motivation to study this generalization comes from the observation that restart with branching can expedite the completion of processes that cannot be expedited with simple restart; yet a sharp and quantitative formulation of this statement is still lacking. We develop a comprehensive theory of first passage under restart with branching. This reveals that two widely applied measures of statistical dispersion---the coefficient of variation and the Gini index---come together to deter…
A well known connection between first-passage probability of random walk and distribution of electrical potential described by Laplace equation is studied. We simulate random walk in the plane numerically as a discrete time process with fixed step length. We measure first-passage probability to touch the absorbing sphere of radius $R$ in 2D. We found a regular deviation of the first-passage probability from the exact function, which we attribute to the finiteness of the random walk step.
The global first passage time density of a network is the probability that a random walker released at a random site arrives at an absorbing trap at time T. We find simple expressions for the mean global first passage time <T> for five fractals. We also find an exact expression for the second moment <T^2> and show that the variance of the first passage time, Var(T), scales with the number of nodes within the fractal N such that Var(T) ~ N^(4/\bar{d}), where \bar{d} is the spectral dimension.
We determine the full distribution and moments of the first passage time for a wide class of stochastic search processes in the limit of frequent stochastic resetting. Our results apply to any system whose short-time behavior of the search process without resetting can be estimated. In addition to the typical case of exponentially distributed resetting times, we prove our results for a wide array of resetting time distributions. We illustrate our results in several examples and show that the errors of our approximations vanish exponentially fast in typical scenarios of diffusive search.
