NUMERICAL-SOLUTIONS OF 1ST-EXIT-TIME PROBLEMS

Authors
BECCARIA M CURCI G VICERE A
Citation
M. Beccaria et al., NUMERICAL-SOLUTIONS OF 1ST-EXIT-TIME PROBLEMS, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics, 48(2), 1993, pp. 1539-1546
Citations number
9
Categorie Soggetti
Physycs, Mathematical","Phsycs, Fluid & Plasmas
Journal title
Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics → ACNP
ISSN journal
1063651X
Volume
48
Issue
2
Year of publication
1993
Pages
1539 - 1546
Database
ISI
SICI code
1063-651X(1993)48:2<1539:NO1P>2.0.ZU;2-F
Abstract
We study the effective numerical solution of first-exit-time problems in any number of dimensions with an arbitrary boundary. We show how a full discretization of the diffusive process, both in space and time, gives accurate results, allowing a clean mathematical analysis and the realization of fast and compact algorithms.