Brownian motion on the figure eight (Q1866067): Difference between revisions
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Latest revision as of 09:59, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Brownian motion on the figure eight |
scientific article |
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Brownian motion on the figure eight (English)
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3 April 2003
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A Brownian motion behaving in an interval containing the origin and returning to zero as soon as it reaches the boundary is studied. Its transition probability is determined explicitly, its ergodicity is proved, and the decay rate to equilibrium is calculated. It is shown that the process solves the martingale problem for certain asymmetric boundary conditions and can be regarded as a diffusion on an eight shaped domain. In the case the origin is situated at a rationally commensurable distance from the two endpoints of the interval, the complete characterization of the possibility of collapse of distinct paths is given.
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absorbing Brownian motion
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Laplace transform
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decay rate
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ergodicity
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