Exit Time Distribution in Spherically Symmetric Two-Dimensional Domains

Abstract

The distribution of exit times is computed for a Brownian particle in spherically symmetric two-dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial differential equation of Helmholtz type with mixed Dirichlet-Neumann boundary conditions is solved analytically. We propose both an exact solution relying on a matrix inversion, and an approximate explicit solution. The approximate solution is shown to be exact for an exit of vanishing size and to be accurate even for large exits. For angular sectors, we also derive exact explicit formulas for the moments of the exit time. For annuli and rectangles, the approximate expression of the mean exit time is shown to be very accurate even for large exits. The analysis is also extended to biased diffusion. Since the Helmholtz equation with mixed boundary conditions is encountered in microfluidics, heat propagation, quantum billiards, and acoutics, the developed method can find numerous applications beyond exit processes.