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

DOI10.1088/1751-8113/43/11/115001MaRDI QIDQ3550155zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

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Cited in

(13)

• Extreme value statistics and Arcsine laws of Brownian motion in the presence of a permeable barrier
• Extremal statistics for first-passage trajectories of drifted Brownian motion under stochastic resetting
• scientific article; zbMATH DE number 29662 (Why is no real title available?)
• Occupation time of a randomly accelerated particle on the positive half axis: results for the first five moments
• Extreme value statistics of correlated random variables: a pedagogical review
• The dichotomous acceleration process in one dimension: position fluctuations
• Record statistics of integrated random walks and the random acceleration process
• Random acceleration process under stochastic resetting
• Occupation time statistics of the random acceleration model
• Exact asymptotic statistics of the \(n\)-edged face in a 3D Poisson-Voronoi tessellation
• Generalised ``arcsine laws for run-and-tumble particle in one dimension
• Random acceleration process on finite intervals under stochastic restarting
• Non-equilibrium thermodynamics of diffusion in fluctuating potentials

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