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

DOI10.1088/0305-4470/29/7/006MaRDI QIDQ4229741zbMATH OpenOpenAlexFDO

Authors Alain Comtet, Cécile Monthus

Publication date 12 July 1999

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

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

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)

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.

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Cited in

(26)

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• Random spherical hyperbolic diffusion
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• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
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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 Bougerol and Dufresne's identities for exponential Brownian functionals
• Multi-skewed Brownian motion and diffusion in layered media
• On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
• Random walk with hyperbolic probabilities
• Functionals of Brownian motion, localization and metric graphs
• Large deviations for the density and current in non-equilibrium-steady-states on disordered rings
• Reflecting diffusions and hyperbolic Brownian motions in multidimensional spheres
• Revisiting integral functionals of geometric Brownian motion
• Geometric bounds on certain sublinear functionals of geometric Brownian motion
• Hyperbolic and fractional hyperbolic Brownian motion
• Random motions at finite velocity in a non-Euclidean space

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