Asymptotics for the fastest among n stochastics particles: role of an extended initial distribution and an additional drift component

DOI10.1088/1751-8121/ABF681zbMATH Open1519.60052arXiv2010.08413MaRDI QIDQ6351490

Publication date: 16 October 2020

Abstract: We derive asymptotic formulas for the mean exit time

of the fastest among

N

identical independently distributed Brownian particles to an absorbing boundary for various initial distributions (partially uniformly and exponentially distributed). Depending on the tail of the initial distribution, we report here a continuous algebraic decay law for

, which differs from the classical Weibull or Gumbell results. We derive asymptotic formulas in dimension 1 and 2, for half-line and an interval that we compare with stochastic simulations. We also obtain formulas for an additive constant drift on the Brownian motion. Finally, we discuss some applications in cell biology where a molecular transduction pathway involves multiple steps and a long-tail initial distribution.

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60)

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