Diffusion in a one-dimensional random medium and hyperbolic Brownian motion

DOI10.1088/0305-4470/29/7/006zbMATH Open0916.60065arXivcond-mat/9506024OpenAlexW2054097831MaRDI QIDQ4229741FDOQ4229741

Authors: Alain Comtet, Cécile Monthus 

Publication date: 12 July 1999

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

Abstract: Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this relationship and study various distributions using stochastic calculus and functional integration.

Full work available at URL: https://arxiv.org/abs/cond-mat/9506024

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Mathematics Subject Classification ID

Diffusion processes (60J60) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

Cited In (26)

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• Geometrical optics of large deviations of Brownian motion in inhomogeneous media
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• A direct solution to the Fokker-Planck equation for exponential Brownian functionals
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• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
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• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
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• Large deviations for the density and current in non-equilibrium-steady-states on disordered rings
• Geometric bounds on certain sublinear functionals of geometric Brownian motion
• Revisiting integral functionals of geometric Brownian motion
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• Hyperbolic and fractional hyperbolic Brownian motion
• Random motions at finite velocity in a non-Euclidean space

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