{"title":"Sturm–Liouville systems for the survival probability in first-passage time problems","authors":"Marcus Dahlenburg, Gianni Pagnini","doi":"10.1098/rspa.2023.0485","DOIUrl":null,"url":null,"abstract":"We derive a Sturm–Liouville system of equations for the exact calculation of the survival probability in first-passage time problems. This system is the one associated with the Wiener–Hopf integral equation obtained from the theory of random walks. The derived approach is an alternative to the existing literature and we tested it against direct calculations from both discrete- and continuous-time random walks in a manageable, but meaningful, example. Within this framework, the Sparre Andersen theorem results to be a boundary condition for the system.","PeriodicalId":20716,"journal":{"name":"Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences","volume":"38 4","pages":"0"},"PeriodicalIF":2.9000,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1098/rspa.2023.0485","RegionNum":3,"RegionCategory":"综合性期刊","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MULTIDISCIPLINARY SCIENCES","Score":null,"Total":0}
引用次数: 1
Abstract
We derive a Sturm–Liouville system of equations for the exact calculation of the survival probability in first-passage time problems. This system is the one associated with the Wiener–Hopf integral equation obtained from the theory of random walks. The derived approach is an alternative to the existing literature and we tested it against direct calculations from both discrete- and continuous-time random walks in a manageable, but meaningful, example. Within this framework, the Sparre Andersen theorem results to be a boundary condition for the system.
期刊介绍:
Proceedings A has an illustrious history of publishing pioneering and influential research articles across the entire range of the physical and mathematical sciences. These have included Maxwell"s electromagnetic theory, the Braggs" first account of X-ray crystallography, Dirac"s relativistic theory of the electron, and Watson and Crick"s detailed description of the structure of DNA.