For independent lattice steps of length at intervals , with probabilities , the diffusive scaling and requires a bias of order . Expanding the master equation gives the advection-diffusion equation . The finite-step variance coefficient is ; it has the same limit because the squared bias vanishes. Fixed nonzero bias does not give finite drift under this diffusive scaling.
Diffusive broadening of electrophoretic bands Created 2026-10-18 Updated 2026-10-20
A narrow population band undergoing uniform electrophoresis and ordinary diffusion has mean position and variance . This follows from the advection-diffusion equation by changing to the coordinate . For two species with mobility difference , their centre separation is , whereas diffusion widths grow only as . Starting from point-like bands with common diffusion coefficient , a required separation of standard deviations needsA prescribed distance between centres alone is a resolution convention; finite loading widths and other dispersion mechanisms must be included when interpreting actual electrophoresis data.
Dirichlet gauge transform for constant drift Created 2026-10-06 Updated 2026-10-07
For the advection-diffusion equation , the multiplication gives . A Dirichlet boundary condition remains a prescribed value, multiplied by at the endpoint. This real exponential conjugation removes the first derivative without changing a bounded spatial interval.
Drift-diffusion decay time Created 2026-10-18 Updated 2026-10-31
For constant diffusion coefficient and drift velocity , the balance gives the characteristic length and time . The fundamental Gaussian distribution of the advection-diffusion equation has a fixed-position exponential factor . Total probability is still conserved: this describes probability moving away from a fixed observation region, rather than disappearance of the particle. At zero drift, this finite exponential time scale is absent.
Finite-inventory directional salt rejection 2026-10-14
For pure solid rejecting all solute, pulling speed , solutal diffusivity and finite solute inventory per unit area , a stationary planar front has in its liquid half-space. The advection-diffusion equation gives this profile, and fixes . A liquidus fixes its position in an imposed temperature gradient. The pure-solid branch requires , where is the eutectic composition.
For an interface perturbation with instantaneous interface kinetics, take the liquid concentration perturbation proportional to . Here is the coefficient of curvature-induced melting-temperature depression. The advection-diffusion equation and interfacial mass conservation giveFor a growing normal mode the unique decaying liquid branch has . Writing , its rate is . Instability requires . The Gibbs-Thomson effect suppresses sufficiently short waves; a quasistatic solute diffusion to solute diffusion changes the rate and must be stated separately.
For in two dimensions, take positive definite, and positive conserved mass . The Gaussian integral gives , and . Substitution in the advection-diffusion equation gives and , equivalently the displayed moment equation. If , its solution is , with .
Half-line drift global relation 2026-10-06
For the advection-diffusion equation on , the spectral divergence form uses and factor . With negative-exponential Half-range Fourier transforms, integration gives the displayed global relation for . The boundary transform refers to , the negative of the outward normal derivative.
Homogenization of a periodic advection-diffusion equation Created 2026-10-14 Updated 2026-10-18
At long wavelengths and on a diffusive time scale, a rapidly varying periodic advection-diffusion equation can have a constant effective diffusivity. A multiple-scale expansion solves periodic cell equations for the fast variables. The solvability condition at the next order gives the macroscopic equation. For a periodic sinusoidal shear this is the effective diffusivity of a periodic sinusoidal shear; its transverse zero-mean cell modes decay, leaving the slow conserved concentration. This use of homogenization concerns differential equations, rather than polynomial homogenization.
For a passive scalar in a planar shear flow , let . Integrating the advection-diffusion equation by parts in gives the displayed hierarchy for , with negative-index terms omitted. Sufficient decay and finite moments justify the integrations. Insulating walls give Neumann boundary conditions for every moment. Solving the first two equations then determines the long-time growth of the second moment without solving the full scalar field.
Use a conforming finite element space with the prescribed basis, and write . Testing the advection-diffusion equation by and applying integration by parts to its diffusion term givesThusHere is the mass matrix; it is a symmetric positive-definite matrix because the basis is linearly independent. The initial vector represents the chosen finite element approximation to , for example its orthogonal projection.
For any coefficient vector , put . The skew symmetry of Galerkin advection with constant drift givesbecause the Sobolev trace of vanishes. ConsequentlyAlong the solution, . The constant symmetric matrix and the semidiscrete equations therefore giveThe L2 norm of the spatial finite element solution is nonincreasing. The constant drift transports it without changing this energy; the diffusion term dissipates it. Any subsequent time-stepping method must be chosen to preserve an appropriate discrete stability estimate.
Let the original area be and the increased upstream area be . At , the conservation law flux is strictly convex. Characteristics behind the increase travel faster than those ahead, forming an admissible shock wave. Rankine-Hugoniot conditions give its speedAt the idealized hydrograph jumps from to at . With positive , the diffusion term spreads the rise over a finite interval. The hydrograph is rounded, with an earlier small response and a later approach to the new discharge, rather than an instantaneous jump.
The physical cause is the longitudinal pressure gradient: a local increase in depth influences neighbouring sections and redistributes water before pure downstream transport would deliver a discontinuity. For a small increase, linearization about has speed and diffusivity . The smooth curve in the figure is the exact half-line step response for this linearized advection-diffusion equation; it illustrates the shape without claiming to solve a large nonlinear jump exactly.
Sharp and diffused downstream hydrographs, with subcritical and supercritical bed-surface phases
. Details. Past exam of the mathematics course of the University of Cambridge 2001 iii Paper 46 1 ii Solution Created 2026-10-03 Updated 2026-10-14
Take and initially . Write , and set , . The advection-diffusion equation is . Integration by parts in the unbounded coordinate gives the longitudinal moment hierarchy for shear transportAll three moments obey Neumann boundary conditions at the walls. The initial values are , , . These manipulations require finite moments and vanishing boundary terms at ; diffusion of the compact initial distribution supplies the required decay for positive time.
The zeroth moment remains exactly . Since is a Neumann eigenfunction, put . Then and , givingFor the second moment, . Thus , withThe equation for has positive damping and bounded forcing, so remains bounded. In the equation for , the decaying term in contributes only a bounded accumulated transient. Over a complete nonzero-frequency cycle, and . ConsequentlyThis proves oscillating shear dispersion in an insulating channel, including the local-in- leading term, not just a cross-channel average. The instantaneous derivative retains bounded periodic oscillations; its cycle-averaged slope is . Thus is the leading second moment, rather than a literal rate proportional to .
The asymptotic statement holds for fixed positive diffusivity and fixed nonzero frequency, after times long compared with and the oscillation period. If , transverse diffusion adjusts rapidly to the changing shear flow, andThis is the cycle average of the instantaneous steady-shear enhancement . At exactly , there is no cycle average: and . Hence the zero-frequency and long-time limits do not commute. In the intermediate range , the shear is approximately steady at its initial amplitude and that latter enhancement is appropriate.
Past exam of the mathematics course of the University of Cambridge 2002 iii Paper 51 1 Solution Created 2026-10-03 Updated 2026-10-14
Put , with and . The relevant homogenization of a periodic advection-diffusion equation limit is a long horizontal wavelength observed on its diffusive time scale. Introduce and , retaining the fast variables . Since the velocity field is independent of , no fast horizontal cell variable is needed. Write the multiple-scale expansionThe cell functions are periodic in and in the period of . The kernel of on this periodic cell consists of constants: multiplying by and integrating over the cell gives , after which . Thus the leading concentration really is independent of the fast variables. At first order,There is a unique periodic : differences of two solutions are proportional to , and the periodicity condition fixes the integration constant. Equivalently,At second order the advection-diffusion equation givesIntegration over the fast cell annihilates the left side. Since the spatial average of is , its solvability condition isFor the second equality, multiply by and average over a period: . In particular the enhancement of diffusivity is nonnegative. Once this solvability condition holds, the remaining zero-mean forcing admits a periodic cell solution: its nonconstant spatial Fourier modes are damped by , while its spatially constant mode has a periodic antiderivative because its temporal average is zero. This also explains the relaxation of initial transverse inhomogeneity. The first corrector has zero spatial mean, so .
This derivation describes the large-scale, long-time limit, after times comparable to the period and to . It does not give an exact closed equation for the spatial average of arbitrary finite-time data: that average contains a correlation between the velocity field and concentration. In physical coordinates the leading long-wavelength concentration therefore obeys asymptotically. The cell expansion, its bounded periodic correctors, and the decay of transverse cell transients justify this effective diffusivity of a periodic sinusoidal shear.
For constant , the periodic cell solution is . ConsequentlyThis is Taylor dispersion: molecular diffusion moves particles between different horizontal velocities and turns their accumulated horizontal displacement into large-scale diffusion.
For the impulsive flow, jumps by at each kick and decays exponentially between kicks. If denotes its value just after a kick, periodicity requires . Thus, within one period,Using the mean-square expression, which has no ambiguous product of a Dirac delta with a discontinuous function, givesThe impulsive model can also be obtained by shrinking smooth pulses of fixed integrated strength. The passive scalar undergoes the exact horizontal shear map at a kick, while the transverse coordinate is unchanged. The cell solution above is the corresponding limit of the smooth cell solutions. Using a one-sided value in instead would miss the contribution from the jump of .
For ,Transverse Brownian motion substantially decorrelates the shear phase between successive kicks. A uniformly distributed phase has horizontal displacement variance per kick, producing an extra diffusivity .
For ,Many kicks occur before transverse diffusion changes a particle's shear phase. Their leading effect is therefore the steady shear with mean velocity amplitude , whose Taylor dispersion coefficient is precisely . The divergence as describes a very long decorrelation time; it does not imply infinite finite-time spreading. At the phase never changes and, for a uniform phase, kicks give variance . The spreading is then ballistic transport, rather than diffusion. The long-time diffusive limit must precede the zero-diffusivity limit, with .
Past exam of the mathematics course of the University of Cambridge 2002 iii Paper 51 3 Solution Created 2026-10-03 Updated 2026-10-14
A large molecular Schmidt number separates the velocity's smallest smooth length scale from the scalar's smaller diffusive length scale. Follow a Lagrangian trajectory and measure displacement from it. Within a sufficiently small scalar packet, Taylor expansion of the smooth velocity field givesThe moving frame removes uniform sweeping, leaving a linear random velocity gradient tensor. Thus the local scalar equation is the advection-diffusion equation with velocity , and averaging over realizations of gives the corresponding ensemble average. The approximation requires the packet to lie within the velocity's locally smooth region. Its thin, diffusive direction can satisfy this condition even when its long direction eventually becomes too large for one global linearization; applications to a spatially varying flow then use local packet descriptions. The statistical conclusions below refer to the linear-flow model and the usual mixing assumptions, not to every conceivable trace-free random matrix process.
Write and assume sufficiently rapid decay to discard boundary terms. Integration by parts givesFor , integrate the advective term once and the diffusive term twice. Since and , one obtainsThese are mass conservation and the evolution of the unnormalized second moment tensor. The first moment obeys , so a centered packet stays centered.
For a positive Gaussian scalar packet in a linear incompressible flow, must be a positive-definite matrix. Diagonalizing its symmetric matrix and applying the Gaussian integral givesThe factor in the last identity matters because has not been divided by the scalar mass. Substitution into the advection-diffusion equation also givesThese identities agree with the second moment equation and prove that the Gaussian family is preserved. For an initially negative packet the same analysis applies after replacing by and taking its positive mass.
To see the roles of stretching and diffusion explicitly, let the deformation gradient solve , . Incompressibility gives . Differentiating integrates the moment equation:Without diffusion, and is constant. In a statistically stationary, mixing flow with positive Lyapunov exponent , the two stretching exponents are and . Writing the ordered eigenvalues of as , their typical initially nondiffusive evolution isThe fluctuation scale presumes the usual central limit theorem for accumulated strain; it is not implied by incompressibility alone. During this stage the packet becomes long and thin but keeps its area and peak concentration.
In the instantaneous principal-axis basis, write for the rotated velocity gradient tensor. Differentiation of an eigenvalue givesThe formulas hold through a repeated eigenvalue by continuity of their sum. The compressed physical variance is . Its contraction is arrested when it is of order , the square of the Batchelor scalar microscale . If its initial length is , the crossover occurs atThereafter has stationary fluctuations associated with the strain and the diffusive floor, while continues to grow typically at rate . Under sufficiently fast mixing, the central part of the distribution of is approximately Gaussian with mean and variance for a strain-dependent coefficient . This central approximation does not determine far tails, which control high concentration moments; those require a full large deviation principle. The two logarithmic widths need not be independent. The area now increases and decreases typically as . This is diffusion arrest of Gaussian packet compression.
For example, a constant principal strain gives the exact physical variancesThe thin variance approaches its diffusive floor, the long variance grows exponentially, and the mass-to-area relation gives the quoted typical amplitude decay. A random strain additionally makes rare histories important for concentration moments.
For a precise statistical formulation define the logarithmic area increaseThe Gaussian identities give the exact relation ; henceAssume the long-time strain statistics give a large deviation principle for on , with convex good rate function , . At exponential accuracy the probability of near is . Combining that cost with the amplitude factor and applying the Laplace principle for probability measures gives the large-deviation decay rates of a Gaussian scalar packetThe initial amplitude only changes a time-independent prefactor. One can see the minimization directly by dividing the possible area-growth rates into small intervals: each contributes its probability cost times , and the interval with least total exponential cost dominates. An interval around a minimizing gives the matching lower bound. The nonnegative area increase bounds the exponential weight by one, so unusually large positive growth cannot produce a divergent weighted tail. Using the area rather than only also avoids discarding possibly important fluctuations of the compressed direction.
Suppose is strictly convex and differentiable, with its minimum at and finite negative right derivative at zero. DefineFor the minimizing rate is positive and uniquely solvesFor , convexity puts the minimum at the endpoint , givingHigh moments are dominated by rare histories with little net area growth, in which a packet keeps a substantial concentration. Their probability cost is , independent of the moment order. A finite threshold is conditional: if , the minimizer can approach zero without reaching it at any finite .
Below the threshold, differentiation of the minimizing expression cancels the terms involving because . Thus , andStrict negativity uses a nondegenerate rate function with a unique zero at : for positive , and . For deterministic strain the ratio can instead be constant. Near the typical rate, if with , then for small . If this quadratic expression holds all the way to zero, it gives the illustrative full resultThe quadratic form is an example, not a universal law of turbulent strain.
A thin scalar packet is stretched until molecular diffusion broadens its compressed direction; conservation of its scalar mass then converts area growth into dilution. Ensemble averages sample different stretching histories, producing different decay rates for different moments and saturation when weakly stretched histories dominate. The present moment calculation is specifically for the centered Gaussian packet and averaging over the flow; signed random initial fields with overlapping packets can also have cancellations and require their initial-field statistics.
Finally, positive exponential decay is a statistical conclusion requiring the strain assumptions above, not a consequence of the local differential equation by itself. For and initially isotropic physical variance , the exact solution has and . Its moments decay algebraically as . Thus the general equations for the exponential rates are the rate-function minimization above; numerical rates and a finite saturation threshold require the long-time statistics of the flow.
Past exam of the mathematics course of the University of Cambridge 2004 iii Paper 65 3 i Solution Created 2026-10-03 Updated 2026-10-14
Interpret the two-dimensional dependence as independence of , allowing the velocity to have a vertical component . Write and . The resistive induction equation, with a gauge fixing the potential's zero mean, givesThe first is a homogeneous advection-diffusion equation. Multiply it by , average over the periodic box and use integration by parts. Advection contributes zero because ; there are no surface terms. ThusMultiplying by makes its derivative nonpositive. With the initial norm convention , this provesThe Poincaré inequality uses the zero-mean assumption; a spatially constant flux potential would otherwise have no gradient. Zero mean remains preserved by this incompressible periodic equation.
Past exam of the mathematics course of the University of Cambridge 2005 iii Paper 84 3 Solution Created 2026-10-03 Updated 2026-10-14
Use the steady slender-plume model implicit in the requested height-only similarity. Put and introduce permeability , dynamic viscosity , fluid heat capacity per volume , and effective transverse thermal diffusivity . These material constants are needed to give dimensional fluxes. Take to be Darcy velocities, so the thermal transport coefficient for the steady equation is when is the effective conductivity of the saturated medium.
The Darcy law with gravity isThe ambient is hydrostatic with . A slender plume's pressure correction has vertical gradient smaller than the buoyancy term by the squared width-to-height ratio. Indeed, incompressibility gives of order width/height, and the horizontal Darcy relation makes the pressure correction of order . Its vertical derivative has the additional inverse-height factor. Thus the leading vertical Darcy balance isThe proportionality is to temperature excess , not absolute ; the velocity vanishes in the unheated ambient. This is the local buoyancy/drag balance of a porous thermal plume, rather than a free-fluid inertial momentum balance.
The governing continuity equation and steady advection-diffusion equation, with axial conduction neglected in the slender high-Rayleigh number limit, areChoose the streamfunction convention , . It enforces continuity identically and givesA change to the opposite streamfunction convention changes the sign of , not the physical velocity or temperature.
The upward convected excess heat flux per unit source length isThis is the quantity denoted in this question; it differs from Question 2's buoyancy-flux symbol. In conservative form the heat equation is . Integrate across the plume:The temperature anomaly and its derivative vanish far from the plume; lateral entrainment brings in ambient-temperature fluid and thus no excess heat. There is no heat source or sink above the line source. Transverse conduction redistributes this heat without removing its total, while axial conduction is negligible in the stated approximation. In an unsteady plume a heat-storage term would have to be retained, so the convective flux alone would not in general be independent of height.
Let . It is constant because . To obtain similarity exponents without guessing a profile, write the width as and central velocity as . The fixed heat flux requires constant, hence . Balancing vertical advection, including its continuity-required horizontal component, against transverse conduction gives , hence . Thus and , and the streamfunction scale is proportional to . A suitable similarity form isThe volume flux per unit span is and therefore grows as ; it tends to zero at the ideal source. Thus the zero-source-volume requirement fixes the absence of an additive source-length scale, not a finite temperature at the singular point.
Substitution into the streamfunction equation givesChoose the scale normalization and . Reflection symmetry makes odd, so the relevant conditions are , , , with finite ; the heat input fixes the remaining dimensional scale. The nonlinear similarity equation becomesIntegrate once. Since in the ambient, the integration constant is zero, giving . A second integration gives ; the normalized far limit fixes . Separation with now yields the complete positive-plume profileIt satisfies the symmetry and decay conditions; the solution of the first-order initial-value equation is unique. The physical heat strength is determined using , obtained by substituting :Equivalently, defineThe hyperbolic-secant porous plume profile and its velocity field are thenIn particular . The far horizontal velocities are inward, , supplying the entrained ambient volume. They are consistent with .
Finally use specific Darcy-flux moments, per unit source length, for the requested flux relationships. The volume flux, kinematic momentum flux and buoyancy flux areThus the physical mass flux is , and the conventional density-weighted Darcy second moment is . If intrinsic pore-velocity momentum flux is required instead, a uniform porosity gives ; keeping this convention distinct does not change the displayed Darcy moments. These are the conserved momentum flux of a porous thermal plume relationships. Constancy of follows here from proportionality of temperature and velocity plus heat conservation, not from ignoring the drag on the solid matrix in a total momentum balance.
The ideal source has zero limiting volume flux but divergent central speed and temperature. Consequently the Boussinesq approximation and slender-plume limit describe the region outside a finite source, where and . Indeed is the local high-Rayleigh condition. These limits improve downstream; they do not make the singular similarity field a literal finite-temperature solution at .
Past exam of the mathematics course of the University of Cambridge 2006 ia Paper 2 6B i Solution Created 2026-09-24 Updated 2026-10-14
Apply the chain rule to . Holding fixed while differentiating in gives , while and . Thus the advection-diffusion equation becomesThe moving coordinate follows the unit-speed advection, leaving the heat equation with a transformed source.
Past exam of the mathematics course of the University of Cambridge 2006 iii Paper 75 1 Solution Created 2026-10-03 Updated 2026-10-14
Take upward from the unperturbed interface in the apparatus frame, with liquid at and pulling velocity . The primary ice contains no salt. We use the dilute, equal-density approximation and neglect fluid motion relative to the mould. The initial salt inventory per unit horizontal area, with a common density factor suppressed, is . Its conservation is essential: the far liquid has zero concentration, so an imposed nonzero far-field composition would describe a different experiment.
The steady advection-diffusion equation is . Decay into the pure water and interfacial salt rejection giveSince , the finite-inventory directional salt rejection solution isThe decay length is . Local liquidus equilibrium givesThus the thermal apparatus selects the interface position at this isotherm. The stated speed inequality is precisely , so the interface is warmer than the eutectic temperature, . These are steady values after the initial finite saline layer has rearranged; the final exponential distribution is not confined to the original depth .
For , a steady pure-ice front would require an interfacial composition beyond the eutectic composition. That branch is unavailable. During the transient, rejected brine concentrates until it reaches ; secondary salt-bearing crystals can then form and the residual brine freezes as an eutectic system. Salt is incorporated into the product rather than remaining indefinitely in a super-eutectic exponential layer. The detailed pattern can include brine pockets and a nonplanar freezing region; it depends on the thermal history and the morphological stability. The speed inequality alone does not decide that latter stability.
For the stability calculation use an interface displacement and a liquid perturbation . Here is the wavenumber, is the temporal rate and gives spatial decay. The frozen thermal field is . Define , where is solid-liquid surface energy, is absolute pure-solvent melting temperature, is mass density and is specific latent heat. For a solid protrusion into liquid the curvature is , and the Gibbs-Thomson effect gives local equilibrium . We assume isotropic surface energy and instantaneous interface kinetics, so no kinetic undercooling term is present.
Linearizing the equilibrium condition at the displaced interface givesThe perturbation advection-diffusion equation givesThe local solute balance at a moving graph, to first order, isIts perturbation is , because the terms and cancel. Consequently the full frozen-temperature solutal interface dispersion isNo quasistatic approximation to solute diffusion was made here. For a growing mode the unique admissible liquid root isWriting and eliminating gives . The root continuously connected to the growing interface branch is thereforeIn particular, unstable wavelengths exist exactly when , and their band isThis is the constitutional supercooling criterion: immediately above the plane, the local liquidus rises at rate , so it overtakes the imposed thermal gradient when that rate exceeds . The Gibbs-Thomson effect cuts off short waves. At long wavelength for positive . The exactly uniform inventory-changing displacement is not an instability of a fixed-inventory experiment. On stable branches the full diffusion problem also admits relaxation transients; the root selection above is sufficient to identify every exponentially growing interface mode.
If one additionally neglects the perturbation time derivative in the liquid diffusion equation, the alternative reduced rate isIt has the same onset and cutoff, but need not have the same rate away from the slow-growth regime. The frozen-temperature approximation by itself does not justify this extra reduction.
After onset, protrusions reach more weakly saline liquid and advance faster, while grooves accumulate rejected brine. The planar interface develops cells and, as growth becomes sufficiently strong, crystal dendrites with concentrated liquid between them. Nonlinear competition changes the selected spacing; linear rates alone cannot fix the final geometry. The interdendritic liquid forms a mushy layer, concentrates toward the eutectic composition, and ultimately freezes into a salt-bearing eutectic product when it reaches . This replaces the pure planar salt-rejection picture with trapping and freezing of brine between crystals.
Past exam of the mathematics course of the University of Cambridge 2007 iii Paper 70 2 Solution Created 2026-10-03 Updated 2026-10-14
Far from the inner edge of a steady Keplerian accretion disk, the inner angular-momentum flux is negligible compared with . Since , the viscous torque in an accretion disk becomes . The steady balance therefore gives . With the stated surface density of a disk,Steady conservation of mass gives , and consequentlyBoth relations use the far-inner-edge approximation, rather than extrapolating the stress-free boundary profile to the inner edge.
For the trace passive scalar, put . Substitute this into the contaminant conservation equation and expand its advective flux:The braces multiplying vanish by background conservation of mass. Hence the concentration satisfiesThe small contaminant fraction ensures it does not alter the ambient disk dynamics. The surface-density model already averages vertically; an axisymmetric background and ring-like injection give . More generally, rapid differential orbital motion winds azimuthal structure and facilitates mixing, but radial-only dependence remains a symmetry or mixing assumption, not a property of every initial injection.
For the axisymmetric advection-diffusion equation, cylindrical geometry givesHere and are independent of radius. ThusLet , with any fixed reference length . Since and , this is the tracer diffusion in a power-law accretion disk equationAssume , , and write , . The change turns this into the heat equation . The radial Dirac delta function must be transformed with its Jacobian:Convolution with the Gaussian heat kernel givesThis full-line logarithmic solution extends the far-edge power-law model to . An actual finite inner boundary would require its own boundary condition and modified kernel.
The fraction must be computed with the contaminant mass measure, rather than with . IndeedThe total contaminant mass is the conserved quantity . Its normalized logarithmic radius is therefore a normal distribution with mean and variance . Integrating this tail gives, for ,The complementary error function accounts for the one-time mass fraction outside the specified radius.
For an outward target , put . Since is decreasing, maximize by minimizing . Its derivative has the sign of , so the unique maximum occurs at . At this time . Thus the printed expression is correctly derived as the maximum instantaneous exterior fraction:
It is not, however, the probability of ever reaching the radius. A tracer can pass through the target and later return; its history is not counted by a one-time exterior fraction. The underlying logarithmic diffusion process iswhere is standard Brownian motion. To compute its actual hitting probability, first put absorbing levels at and relative to . Conditioning on the first small time step gives the backward equation for the probability of reaching the upper level first, with , . Solving givesLetting the lower level tend to exhausts all finite-time upward-hitting paths. Therefore the correct eventual probability in this idealized model isFor example, if , the maximum exterior fraction is , whereas the actual hitting probability is . This is an explicit counterexample to the last inference in the question and an instance of maximum occupation is not a hitting probability.
For , the target is the initial radius and the hitting probability is one, while with no attained maximum. For , the inward drift ensures eventual hitting with probability one, and as . The square-root expression involving is therefore only meaningful for the outward-target case, and even there it describes occupancy rather than first passage.
