A particle in the well of a potential undergoes Brownian motion according to the overdamped Langevin
equation
𝑑𝑥 𝐷 𝑑𝑈(𝑥)
=− + 𝑔(𝑡),
𝑑𝑡 𝑘B 𝑇 𝑑𝑥
where
〈𝑔(𝑡)〉 = 0,
〈𝑔(𝑡)𝑔(𝑡′)〉 = 2𝐷𝛿(𝑡 − 𝑡 ′ ).
and
0.5 𝑥 2 , 𝑥 < 3,
𝑈(𝑥) = {
9 − 0.5(𝑥 − 6)2 , 𝑥 ≥ 3.
When the particle reaches 𝑥 = 9 it gets absorbed.
The corresponding discretized version of the above equation is:
𝐷 𝑑𝑈(𝑥(𝑡))
𝑥(𝑡 + ∆𝑡) = 𝑥(𝑡) − ∆𝑡 + 𝜀√2𝐷∆𝑡,
𝑘B 𝑇 𝑑𝑥
where 𝜀 is a random number that satisfies the Gaussian distribution:
1 𝜀2
𝑝(𝜀) = exp (− ).
√2𝜋 2
From the discretized equation, one can numerically find 𝑥(𝑡 + ∆𝑡) for a given 𝑥(𝑡), and therefore solve 𝑥
along the entire time axis (i.e., 0 → ∆𝑡 , ∆𝑡 → 2∆𝑡 , 2∆𝑡 → 3∆𝑡 , etc.). Simulate 1000 single-particle
trajectories, all start at 𝑥 = 0. Find the average time for the particles to reach 𝑥 = 9. For simplicity, let’s
take 𝐷 = 1, 𝑘B 𝑇 = 1. For fast simulation, please take ∆𝑡 = 0.1.