JOINT ICTP/SISSA STATISTICAL PHYSICS SEMINAR: "Backward Fokker-Planck Methods for First-Passage Problems"

[Statistical Physics Group]

JOINT ICTP/SISSA STATISTICAL PHYSICS SEMINAR

Tuesday, 24 March 2009   -    12:30 hrs



Lecture Room D

SISSA Main Building



Alan BRAY

(University of Manchester)



"Backward Fokker-Planck Methods

for First-Passage Problems "



Abstract



The Backward Fokker-Planck Equation (BFPE) provides an elegant  
technique for solving a number of first-passage problems. After an  
introduction to the method, the usefulness of the BFPE will be  
illustrated by applying it

to a number of problems  of increasing complexity, namely

(i) the simple random walk with an absorbing boundary at the origin;

(ii) the simple random walk with an absorbing boundary moving with  
constant velocity;

(iii) the simple random walk with two absorbing boundaries moving at  
different velocities, and

(iv) the random walk in the presence of various types of "shear flow"  
and an absorbing boundary at the origin.

The last of these is a problem with very rich behavior, depending on  
the nature of the "shear flow".