Abstract Langevin-type equations are used as models for diffusions in force fields in many physical situations. In particular, the mean first passage time of such a process over a potential barrier, or the time of transition from one stable state to another, is the physical quantity that determines chemical reactions rates (Arrhenius' law), diffusion tensors for atomic migration in crystals, ionic conductivity, the I — V characteristic in Josephson junction devices, relative stability or equilibrium and non-equilibrium steady states and so on. In filtering theory the phenomenon of cycle slip and threshold in phase locked loops can be modeled by a multi-stable system of differential equations driven by a random signal and by the noisy measurements with transitions between the stable states. An asymptotic method for the computation of mean first passage times and exit probabilities yields new formulas for various physical quantities. The method is based on singular perturbation and boundary layer theory and matched asymptotic expansions of solutions of boundary value problems for partial differential equations. It was recently developed by D. Ludwig [8], B. Matkowsky, Z. Schuss


    Zugriff

    Zugriff prüfen

    Verfügbarkeit in meiner Bibliothek prüfen

    Bestellung bei Subito €


    Exportieren, teilen und zitieren



    Titel :

    First passage times in stochastic models of physical systems and in filtering theory


    Beteiligte:
    Schuss, Zeev (Autor:in)


    Erscheinungsdatum :

    01.01.1982


    Format / Umfang :

    8 pages





    Medientyp :

    Aufsatz/Kapitel (Buch)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch




    First Passage Problems for Nonstationary Discrete-Time Stochastic Control Systems

    Guo, X. / Hernandez-del-Valle, A. / Hernandez-Lerma, O. | British Library Online Contents | 2012


    A general theory on first passage times with applications to adaptive decision making

    Chen, Xinjia | British Library Conference Proceedings | 2019


    The first passage probability and control

    Beer, F. P. / Henkel, W. R. | NTRS | 1967


    First warship to navigate north-west passage

    Engineering Index Backfile | 1954