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The narrow escape problem : a matched asymptotic expansion approach

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Title: The narrow escape problem : a matched asymptotic expansion approach
Author: Pillay, Samara
Degree Master of Science - MSc
Program Mathematics
Copyright Date: 2008
Publicly Available in cIRcle 2008-08-20
Subject Keywords Narrow escape; Mean first passage time; Matched asymptotic expansions; Neumann Green's function
Abstract: We consider the motion of a Brownian particle trapped in an arbitrary bounded two or three-dimensional domain, whose boundary is reflecting except for a small absorbing window through which the particle can escape. We use the method of matched asymptotic expansions to calculate the mean first passage time, defined as the time taken for the Brownian particle to escape from the domain through the absorbing window. This is known as the narrow escape problem. Since the mean escape time diverges as the window shrinks, the calculation is a singular perturbation problem. We extend our results to include N absorbing windows of varying length in two dimensions and varying radius in three dimensions. We present findings in two dimensions for the unit disk, unit square and ellipse and in three dimensions for the unit sphere. The narrow escape problem has various applications in many fields including finance, biology, and statistical mechanics.
URI: http://hdl.handle.net/2429/1428

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