Exact Solution to the Mean Exit Time Problem for Free Inertial Processes Driven by Gaussian White Noise
- 10 July 1995
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review Letters
- Vol. 75 (2) , 189-192
- https://doi.org/10.1103/physrevlett.75.189
Abstract
We obtain the exact analytical expression, up to a quadrature, for the mean exit time, , of a free inertial process driven by Gaussian white noise from a region in space. We obtain a completely explicit expression for and discuss the dependence of as a function of the size of the region. We develop a new method that may be used to solve other exit time problems.
Keywords
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