First exit times of harmonically trapped particles: A didactic review

We revise the classical problem of characterizing first exit times of a harmonically trapped particle whose motion is described by a one- or multidimensional Ornstein-Uhlenbeck process. We start by recalling the main derivation steps of a propagator using Langevin and Fokker-Planck equations. The mean exit time, the moment-generating function and the survival probability are then expressed through confluent hypergeometric functions and thoroughly analyzed. We also present a rapidly converging series representation of confluent hypergeometric functions that is particularly well suited for numerical computation of eigenvalues and eigenfunctions of the governing Fokker-Planck operator. We discuss several applications of first exit times, such as the detection of time intervals during which motor proteins exert a constant force onto a tracer in optical tweezers single-particle tracking experiments; adhesion bond dissociation under mechanical stress; characterization of active periods of trend-following and mean-reverting strategies in algorithmic trading on stock markets; relation to the distribution of first crossing times of a moving boundary by Brownian motion. Some extensions are described, including diffusion under quadratic double-well potential and anomalous diffusion.