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Computation of the Distribution of the Absorption Time of the Drifted Diffusion with Stochastic Resetting and Mixed Boundary Conditions

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arXiv:2311.03939v3 Announce Type: replace
Abstract: This article introduces two techniques for computing the distribution of the first passage or absorption time of a drifted Wiener diffusion with Poisson resetting times, in presence of an upper hard wall reflection and a lower absorbing barrier. The first method starts with the Pad\'e approximation to the Laplace transform of the first passage time, which is then inverted through the partial fraction decomposition. The second method, which we call "multiresolution algorithm", is a Monte Carlo technique that exploits the properties of the Wiener process in order to generate Brownian bridges at increasing resolution levels. This technique allows to approximate the first passage time at any level of accuracy. An intensive numerical study reveals that the multiresolution algorithm has higher accuracy than standard Monte Carlo, whereas the faster method based on the Pad\'e approximation provides sufficient accuracy in specific circumstances only. Besides these two numerical approximations, this article provides a closed-form expression for the expected first passage time.

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