The Stretch to Stray on Time: Resonant Length of Random Walks in a Transient

Martin Falcke and V. Nicolai Friedhoff

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Abstract: First-passage times in random walks have a vast number of diverse applications in physics, chemistry, biology, and finance. In general, environmental conditions for a stochastic process are not constant on the time scale of the average first-passage time, or control might be applied to reduce noise. We investigate moments of the first-passage time distribution under a transient describing relaxation of environmental conditions. We solve the Laplace-transformed (generalized) master equation analytically using a novel method that is applicable to general state schemes. The first-passage time from one end to the other of a linear chain of states is our application for the solutions. The dependence of its average on the relaxation rate obeys a power law for slow transients. The exponent $\nu$ depends on the chain length $N$ like $\nu=-N/(N+1)$ to leading order. Slow transients substantially reduce the noise of first-passage times expressed as the coefficient of variation (CV), even if the average first-passage time is much longer than the transient. The CV has a pronounced minimum for some lengths, which we call resonant lengths. These results also suggest a simple and efficient noise control strategy, and are closely related to the timing of repetitive excitations, coherence resonance and information transmission by noisy excitable systems. A resonant number of steps from the inhibited state to the excitation threshold and slow recovery from negative feedback provide optimal timing noise reduction and information transmission.

Date: 2018-01
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