Time at which the maximum of a random acceleration process is reached

DOI10.1088/1751-8113/43/11/115001zbMATH Open1194.82035arXiv1001.1336OpenAlexW3104902311WikidataQ62415890 ScholiaQ62415890MaRDI QIDQ3550155FDOQ3550155

Authors: Satya N. Majumdar, Alberto Rosso, Andrea Zoia 

Publication date: 31 March 2010

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

Abstract: We study the random acceleration model, which is perhaps one of the simplest, yet nontrivial, non-Markov stochastic processes, and is key to many applications. For this non-Markov process, we present exact analytical results for the probability density $p(t_m|T)$ of the time $t_m$ at which the process reaches its maximum, within a fixed time interval $[0,T]$. We study two different boundary conditions, which correspond to the process representing respectively (i) the integral of a Brownian bridge and (ii) the integral of a free Brownian motion. Our analytical results are also verified by numerical simulations.

Full work available at URL: https://arxiv.org/abs/1001.1336

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zbMATH Keywords

probability densitynon-Markovian processpercolation theory

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic integrals (60H05) Percolation (82B43) General theory of stochastic processes (60G07) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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