Observation time dependent mean first passage time of diffusion and subdiffusion processes. (English) Zbl 1456.60218
Summary: 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 five different models of subdiffusion, the fractional diffusion equation (FDE), scaled Brown motion (SBM), fractional Brownian motion (FBM), stationary Markovian approximation of SBM, and the aging continuous-time random walk model. We find that the MFPT is linearly dependent on \(T\) in the small \(T\) limit for all the models investigated, while the large-\(T\) behavior of the MFPT is sensitive to stochastic properties of the transport model in question. We also discuss the relationship between the observation time, \(T\), dependence and the travel length, \(L\), dependence of the MFPT. Our results suggest the observation time dependency of the MFPT can serve as an experimental measure that is far more sensitive to stochastic properties of transport processes than the mean square displacement.
MSC:
| 60J70 | Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) |
| 60K50 | Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) |
| 82C70 | Transport processes in time-dependent statistical mechanics |
| 60G50 | Sums of independent random variables; random walks |
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