Analytic and Monte Carlo Approximations to the Distribution of the First Passage Time of the Drifted Diffusion with Stochastic Resetting and Mixed Boundary Conditions
arXiv:2311.03939 · doi:10.1103/PhysRevE.111.054117
Abstract
This article introduces two techniques for computing the distribution of the absorption or first passage time of the drifted Wiener diffusion subject to Poisson resetting times, to an upper hard wall barrier and to a lower absorbing barrier. The first method, which we call ``Padé-partial fraction'' approximation, starts with the Padé approximation to the Laplace transform of the first passage time distribution, which is then exactly inverted by means of the partial fraction decomposition. The second method, which we call "multiresolution algorithm", is a Monte Carlo technique that exploits the properties of the Wiener process in order to generate Brownian bridges at increasing levels of resolution. Our numerical study reveals that the multiresolution algorithm has higher efficiency than standard Monte Carlo, whereas the faster Padé-partial fraction method is accurate in various circumstances and provides an analytical formula. Also, a closed-form exact expression for the expected first passage time is derived.
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