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Joint distribution of multiple boundary local times and related first-passage time problems with multiple targets

Abstract : We investigate the statistics of encounters of a diffusing particle with different subsets of the boundary of a confining domain. The encounters with each subset are characterized by the boundary local time on that subset. We extend a recently proposed approach to express the joint probability density of the particle position and of its multiple boundary local times via a multi-dimensional Laplace transform of the conventional propagator satisfying the diffusion equation with mixed Robin boundary conditions. In the particular cases of an interval, a circular annulus and a spherical shell, this representation can be explicitly inverted to access the statistics of two boundary local times. We provide the exact solutions and their probabilistic interpretation for the case of an interval and sketch their derivation for two other cases. We also obtain the distributions of various associated first-passage times and discuss their applications.
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https://hal.archives-ouvertes.fr/hal-03047903
Contributor : Denis Grebenkov <>
Submitted on : Wednesday, December 9, 2020 - 9:13:44 AM
Last modification on : Thursday, December 17, 2020 - 4:20:29 AM
Long-term archiving on: : Wednesday, March 10, 2021 - 6:30:30 PM

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ArXiv 2008.12986 (2020) Greben...
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Denis Grebenkov. Joint distribution of multiple boundary local times and related first-passage time problems with multiple targets. Journal of Statistical Mechanics: Theory and Experiment, IOP Publishing, 2020, 2020 (10), pp.103205. ⟨10.1088/1742-5468/abb6e4⟩. ⟨hal-03047903⟩

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