On an imaginary exponential functional of Brownian motion

DOI10.1088/1751-8113/44/17/175003zbMATH Open1218.60065OpenAlexW3104697799MaRDI QIDQ2998071FDOQ2998071

Authors D. Gredat, Ivan Dornic, J. M. Luck 

Publication date 18 May 2011

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.1173

zbMATH Keywords

Brownian motionwhite noiseimaginary exponential functionalKesten approachLangevin-Stratonovich equation

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for reaction-diffusion systems. The main emphasis is put on the complementarity between the usual Langevin approach and another approach based on the similarity with Kesten variables and other one-dimensional disordered systems. Even though neither of these routes leads to the full solution of the problem, we have obtained a collection of results describing various regimes of interest.

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• Indirect measurements of a harmonic oscillator
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• Discrete Whittaker processes
• Some random paths with angle constraints
• On some exponential functionals of Brownian motion

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