Numerical solutions of first-exit-time problems

1 August 1993

journal article
research article
Published by American Physical Society (APS) in Physical Review E

Vol. 48 (2) , 1539-1546
https://doi.org/10.1103/physreve.48.1539

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.

Keywords

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