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Exit and Occupation times for Brownian Motion on Graphs with General Drift and Diffusion Constant

Research paper by O. Benichou, J. Desbois

Indexed on: 25 Oct '08Published on: 25 Oct '08Published in: Physics - Statistical Mechanics



Abstract

We consider a particle diffusing along the links of a general graph possessing some absorbing vertices. The particle, with a spatially-dependent diffusion constant D(x) is subjected to a drift U(x) that is defined in every point of each link. We establish the boundary conditions to be used at the vertices and we derive general expressions for the average time spent on a part of the graph before absorption and, also, for the Laplace transform of the joint law of the occupation times. Exit times distributions and splitting probabilities are also studied and several examples are discussed.