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Academic year: 2021



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Exit Time problems and Escape from a Potential Well Escape From a Potential Well

• There are many systems in physics, chemistry and biology that exist in at least two stable states:

– Switching and storage devices in computers.

– Conformational changes of biological macromolecules (they can exist in many different states).

• The problems that we would like to study are:

– How stable are the various states relative to each other.

– How long does it take for a system to switch spontaneously from one state to another?

– How is the transfer made, i.e. through what path in the relevant state space?

– How does the system relax to an unstable state?


Exit Time problems and Escape from a Potential Well

• The study of bistability and metastability is a very active research area. Topics of current research include:

– The development of numerical methods for the calculation of various quantities such as reaction rates, transition pathways etc.

– The study of bistable systems in infinite dimensions.


Exit Time problems and Escape from a Potential Well

• We will consider the dynamics of a particle moving in a

bistable potential, under the influence of thermal noise in one dimension:

˙x = −V 0 (x) + p2k B T ˙ β. (1)

• We will consider potentials that have to local minima, one local maximum (saddle point) and they increase at least

quadratically fast at infinity. This ensures that the state space is ”compact”, i.e. that the particle cannot escape at infinity.

• The standard potential that satisfies these assumptions is V (x) = 1

4 x 4 − 1

2 x 2 + 1

4 . (2)

• This potential has three local minima, a local maximum at

x = 0 and two local minima at x = ±1.


Exit Time problems and Escape from a Potential Well

0 50 100 150 200 250 300 350 400 450 500



−1 0 1 2 3

Figure 1: Sample Path of solution to equation (1).


Exit Time problems and Escape from a Potential Well

• The values of the potential at these three points are:

V (±1) = 0, V (0) = 1 4 .

• We will say that the height of the potential barrier is 1 4 . The physically (and mathematically!) interesting case is when the thermal fluctuations are weak when compared to the potential barrier that the particle has to climb over.

• More generally, we assume that the potential has two local minima at the points a and c and a local maximum at b.

• We will consider the problem of the escape of the particle from the left local minimum a.

• The potential barrier is then defined as

E b = V (b) − V (a).


Exit Time problems and Escape from a Potential Well

• Our assumption that the thermal fluctuations are weak can be written as

k B T

E b  1. (3)

• Under condition (3), the particle is most likely to be found close to a or c. There it will perform small oscillations around either of the local minima.

• We can study the weak noise asymptotics for finite times using standard perturbation theory.

• We can describe locally the dynamics of the particle by appropriate Ornstein-Uhlenbeck processes.

• This result is valid only for finite times: at sufficiently long times the particle can escape from the one local minimum, a say, and surmount the potential barrier to end up at c. It will then spend a long time in the neighborhood of c until it

escapes again the potential barrier and end at a.


Exit Time problems and Escape from a Potential Well

• This is an example of a rare event. The relevant time scale, the exit time or the mean first passage time scales

exponentially in β := (k B T ) 1 :

τ = ν 1 exp(βE b ).

• the rate with which particles escape from a local minimum of the potential is called the rate of escape or the reaction rate κ := τ 1 :

κ = ν exp(−β∆E). (4)

• It is important to notice that the escape from a local minimum, i.e. a state of local stability, can happen only at positive

temperatures: it is a noise assisted event:

• In the absence of thermal fluctuations the equation of motion becomes:

˙x = −V 0 (x), x(0) = x 0 .


Exit Time problems and Escape from a Potential Well

• In this case the potential becomes a Lyapunov function:


dt = V 0 (x) dx

dt = −(V 0 (x)) 2 < 0.

• Hence, depending on the initial condition the particle will converge either to a or c. The particle cannot escape from either state of local stability.

• On the other hand, at high temperatures the particle does not

”see” the potential barrier: it essentially jumps freely from one local minimum to another.

• We will study this problem and calculate the escape rate using

by calculating the mean first passage time.


The Mean First Passage Time Approach

• The Arrhenius-type factor in the formula for the reaction rate, eqn. (4) is intuitively clear and it has been observed

experimentally in the late nineteenth century by Arrhenius and others.

• What is extremely important both from a theoretical and an applied point of view is the calculation of the prefactor ν, the rate coefficient.

• A systematic approach for the calculation of the rate

coefficient, as well as the justification of the Arrhenius kinetics, is that of the mean first passage time method (MFPT).

• Since this method is of independent interest and is useful in

various other contexts, we will present it in a quite general

setting and apply it to the problem of the escape from a

potential barrier later on.


The Boundary Value Problem for the MFPT

• Let X t be a continuous time diffusion process on R d whose evolution is governed by the SDE

dX t x = b(X t x ) dt + σ(X t x ) dW t , X 0 x = x. (5)

• Let D be a bounded subset of R d with smooth boundary.

Given x ∈ D, we want to know how long it takes for the process X t to leave the domain D for the first time

τ D x = inf {t > 0 : X t x ∈ D} . /

• Clearly, this is a random variable. The average of this random variable is called the mean first passage time MFPT or the first exit time:

τ (x) := Eτ D x .

• We can calculate the MFPT by solving an appropriate

boundary value problem.


The Boundary Value Problem for the MFPT

Theorem 1. The MFPT is the solution of the boundary value problem

−Lτ = 1, x ∈ D, (6a)

τ = 0, x ∈ ∂D, (6b)

where L is the generator of the SDE 6.

• The homogeneous Dirichlet boundary conditions correspond to an absorbing boundary: the particles are removed when

they reach the boundary. Other choices of boundary conditions are also possible.

• The rigorous proof of Theorem 1 is based on Itˆo’s formula.


The Boundary Value Problem for the MFPT Derivation of the BVP for the MFPT

• Let ρ(X, x, t) be the probability distribution of the particles that have not left the domain D at time t. It solves the FP equation with absorbing boundary conditions.


∂t = L ρ, ρ(X, x, 0) = δ(X − x), ρ| ∂D = 0. (7)

• We can write the solution to this equation in the form ρ(X, x, t) = e L

t δ(X − x),

• where the absorbing boundary conditions are included in the definition of the semigroup e L

t .

• The homogeneous Dirichlet (absorbing) boundary conditions imply that

t→ lim +∞ ρ(X, x, t) = 0.

• That is: all particles will eventually leave the domain.


The Boundary Value Problem for the MFPT

• The (normalized) number of particles that are still inside D at time t is

S(x, t) = Z


ρ(X, x, t) dx.

• Notice that this is a decreasing function of time. We can write


∂t = −f (x, t),

• where f (x, t) is the first passage times distribution.


The Boundary Value Problem for the MFPT

• The MFPT is the first moment of the distribution f (x, t):

τ (x) =

Z +∞


f (s, x)s ds =

Z +∞


− dS

ds s ds


Z +∞


S(s, x) ds =

Z +∞




ρ(X, x, s) dXds


Z +∞




e L

s δ(X − x) dXds


Z +∞




δ(X − x) 

e L s 1 

dXds =

Z +∞


 e L s 1  ds.

• We apply L to the above equation to deduce:

Lτ =

Z +∞


 Le L t 1 

dt = Z t


d dt

 Le L t 1  dt

= −1.


The Boundary Value Problem for the MFPT

• Consider the boundary value problem for the MFPT of the one dimensional diffusion process (1) from the interval (a, b):

−β 1 e βVx e βV τ  = 1 (8)

• We choose reflecting BC at x = a and absorbing B.C. at x = b.

We can solve (8) with these boundary conditions by quadratures:

τ (x) = β 1 Z b


dye βV (y)

Z y 0

dze βV (z) . (9)

• Now we can solve the problem of the escape from a potential well: the reflecting boundary is at x = a, the left local

minimum of the potential, and the absorbing boundary is at

x = b, the local maximum.


The Boundary Value Problem for the MFPT

• We can replace the B.C. at x = a by a repelling B.C. at x = −∞:

τ (x) = β 1 Z b


dye βV (y) Z y


dze βV (z) .

• When E b β  1 the integral wrt z is dominated by the value of the potential near a. Furthermore, we can replace the upper limit of integration by ∞:

Z z


exp(−βV (z)) dz ≈

Z +∞


exp(−βV (a)) exp

− βω 0 2

2 (z − a) 2


= exp (−βV (a))

s 2π βω 0 2 ,

• where we have used the Taylor series expansion around the minimum:

V (z) = V (a) + 1

2 ω 0 2 (z − a) 2 + . . .


The Boundary Value Problem for the MFPT

• Similarly, the integral wrt y is dominated by the value of the potential around the saddle point. We use the Taylor series expansion

V (y) = V (b) − 1

2 ω b 2 (y − b) 2 + . . .

• Assuming that x is close to a, the minimum of the potential, we can replace the lower limit of integration by −∞. We finally obtain

Z b x

exp(βV (y)) dy ≈

Z b


exp(βV (b)) exp

− βω b 2

2 (y − b) 2


= 1

2 exp (βV (b))

s 2π

βω b 2 .


The Boundary Value Problem for the MFPT

• Putting everything together we obtain a formula for the MFPT:

τ (x) = π ω 0 ω b

exp (βE b ) .

• The rate of arrival at b is 1/τ . Only have of the particles escape. Consequently, the escape rate (or reaction rate), is given by 1 :

κ = ω 0 ω b

2π exp (−βE b ) .


The Boundary Value Problem for the MFPT

• The escape rate can be calculated in closed form only in 1d or in multidimesional problems that can be reduced to a 1d

problem (e.g., problems with radial symmetry).

• For more information on the calculation of escape rates and applications of reaction rate theory see

– R. Zwanzig: Nonequilibrium Statistical Mechanics, Oxford 2001, Ch. 4.

– C.W. Gardiner: Handbook of Stochastic Methods, Springer 2002, Ch. 9.

– Freidlin and Wentzell: Random Perturbations of Dynamical

Systems , Springer 1998, Ch. 6.


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