Sign-changes as a universal concept in first-passage time calculations

Abstract

First-passage time problems are ubiquitous across many fields of study including transport processes in semiconductors and biological synapses, evolutionary game theory and percolation. Despite their prominence, first-passage time calculations have proven to be particularly challenging. Analytical results to date have often been obtained under strong conditions, leaving most of the exploration of first-passage time problems to direct numerical computations. Here we present an analytical approach that allows the derivation of first-passage time distributions for the wide class of non-differentiable Gaussian processes. We demonstrate that the concept of sign changes naturally generalises the common practice of counting crossings to determine first-passage events. Our method works across a wide range of time-dependent boundaries and noise strengths thus alleviating common hurdles in first-passage time calculations.

7 pages, 6 figures. Accepted for publication in Phys. Rev. E

References in corpus (5)

• Mean first-passage times of non-Markovian random walkers in confinement
• Weighted Kolmogorov-Smirnov test: Accounting for the tails
• Switching Time Statistics for Driven Neuron Models: Analytic Expressions versus Numerics
• First passage times in integrate-and-fire neurons with stochastic thresholds
• Survival probability and first-passage-time statistics of a Wiener process driven by an exponential time-dependent drift