On the path of an inert object impinged on one side by a Brownian particle (Q5956927): Difference between revisions

Let \(K>0\), \(V_{0}\in \mathbb{R}\) and consider a Brownian motion \((\Omega ,{\mathcal F}_{t}^{B},P^{x},B)\). The author shows the existence and uniqueness in law of a pair of processes \((Y(t),V(t))\), \(t\geq 0\), such that \(V(0)=V_{0}\), \(V(t)\) is continuous, nondecreasing, \({\mathcal F}_{t}^{B}\)-measurable, \(Y(0)=0\), \(Y_{t}\) is \({\mathcal F}_{t}^{B}\)-measurable, \(Y_{t}\) is a ``Brownian motion reflected downwards in the curve \(S(t)=\int_{_{0}}^{^{t}}V(u) du\)'', \(V(t)=V_{0}+K L(t)\), \(t\geq 0\), \(L\) being ``the occupation local time of \(Y\) on \(S\)''. The concepts in ``\(\cdot\)'' are made precise: In the proof, \(V(t)\) is constructed such that \(dS/dt=V_{0}+2KM_{t}^{S}\), \(M_{t}^{S}= \max_{u\leq t}(B_{u}-S_{u})\) and \(Y_{t}\) is taken as \(B_{t}-M_{t}^{S}\). The inverse process \(V^{(-1)}(u)= \inf(\{t;V(t)>u\})\) is proved to be with independent increments on \([0,t]\) when conditioned on being finite at \(t\), its Laplace transform is explicitly determined, as well as its Lévy measure. The law of \(V^{(-1)}(t)\) conditioned on being finite is shown to be self-decomposable. This law is a mixture of exponentials (and \(\varepsilon_{0}\)) if \(t\leq (8K)^{1/2}\), and is in the closure of this class with respect to convergence and convolutions for \(t>(8K)^{1/2}\); its density is explicitly determined. The paper starts with a discussion leading from the intuitive contents of the title to the exact definitions introduced (\(V\) is the velocity of the impinged particle), the first proposition states that \((B-M^{c},2M^{c})\), where \(M^{c}(t)= \max_{u\leq t}(B(u)-ct)\), is identical in law with \((Y,L)\): \(L_{t}= \lim_{\varepsilon \downarrow 0}\varepsilon^{-1}\int_{_{0}}^{^{t}}1_{(-\varepsilon ,0]}(Y(u)-cu) du\), \(Y(t)=ct+Z(t)\) and \(Z(t)\) is the Brownian with drift \(-ct\) on \((-\infty ,0]\), reflected in \(0\). A sort of reflection property for \(Y,L,S\) is proved and used in the computation of the characteristics of \(V^{(-1)}(t)\).