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Numerical solutions of first-exit-time problems
Phys. Rev. E 48, 1539 – Published 1 August, 1993
DOI: 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.
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