Journal of Statistical Physics

, Volume 122, Issue 3, pp 437–463

Narrow Escape, Part I

  • A. Singer
  • Z. Schuss
  • D. Holcman
  • R. S. Eisenberg


A Brownian particle with diffusion coefficient D is confined to a bounded domain Ω by a reflecting boundary, except for a small absorbing window \(\partial\Omega_a\). The mean time to absorption diverges as the window shrinks, thus rendering the calculation of the mean escape time a singular perturbation problem. In the three-dimensional case, we construct an asymptotic approximation when the window is an ellipse, assuming the large semi axis a is much smaller than \(|\Omega|^{1/3}\) (\(|\Omega|\) is the volume), and show that the mean escape time is \(E\tau\sim{\frac{|\Omega|}{2\pi Da}} K(e)\), where e is the eccentricity and \(K(\cdot)\) is the complete elliptic integral of the first kind. In the special case of a circular hole the result reduces to Lord Rayleigh's formula \(E\tau\sim{\frac{|\Omega|}{4aD}}\), which was derived by heuristic considerations. For the special case of a spherical domain, we obtain the asymptotic expansion \(E\tau={\frac{|\Omega|}{4aD}} [1+\frac{a}{R} \log \frac{R}{a} + O(\frac{a}{R})]\). This result is important in understanding the flow of ions in and out of narrow valves that control a wide range of biological and technological function. If Ω is a two-dimensional bounded Riemannian manifold with metric g and \(\varepsilon=|\partial\Omega_a|_g/|\Omega|_g\ll1\), we show that \(E\tau ={\frac{|\Omega|_g}{D\pi}}[\log{\frac{1}{\varepsilon}}+O(1)]\). This result is applicable to diffusion in membrane surfaces.

Key Words

Brownian motion Exit problem Singular perturbations 


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Copyright information

© Springer Science + Business Media, Inc. 2006

Authors and Affiliations

  • A. Singer
    • 1
  • Z. Schuss
    • 2
  • D. Holcman
    • 3
  • R. S. Eisenberg
    • 4
  1. 1.Department of MathematicsYale UniversityNew HavenUSA
  2. 2.Department of MathematicsTel-Aviv UniversityIsrael
  3. 3.Department of MathematicsWeizmann Institute of ScienceIsrael
  4. 4.Department of Molecular Biophysics and PhysiologyRush Medical CenterChicagoUSA

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