Ding, Mingzhou and Rangarajan, Govindan (2004) First passage time problem: a Fokker-Planck approach. [Book Chapter]Full text not available from this repository. (Request a copy)
This chapter reviews the first passage time problem for one dimensional stochastic processes and presents closed form solutions for the underlying distribution function. Using the Fokker-Planck approach the case of the Brownian motion with drift is solved in the diffusive limit. This technique is generalized to obtain the exact solutions in the case of anomalous diffusion, corresponding to the continuous time random walk.
|Item Type:||Book Chapter|
|Additional Information:||The copyright of the book belongs to Springer Verlag.|
|Department/Centre:||Division of Physical & Mathematical Sciences > Mathematics|
|Date Deposited:||27 Feb 2008|
|Last Modified:||07 Feb 2012 08:55|
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