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Algorithms for Brownian first-passage-time estimation
1Laboratory of Chemical Physics, NIDDK, National Institutes of Health, Bethesda, Maryland 20892-0520, USA. adiba@mail.nih.gov
Abstract:
A class of algorithms in discrete space and continuous time for Brownian first-passage-time estimation is considered. A simple algorithm is derived that yields exact mean first-passage times (MFPTs) for linear potentials in one dimension, regardless of the lattice spacing. When applied to nonlinear potentials and/or higher spatial dimensions, numerical evidence suggests that this algorithm yields MFPT estimates that either outperform or rival Langevin-based (discrete time and continuous space) estimates.
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