Strongly constrained stochastic processes: the multi-ends Brownian bridge

DOI10.1088/1742-5468/AB4BBCzbMATH Open1457.82258arXiv1909.12522OpenAlexW2975346917MaRDI QIDQ5149673FDOQ5149673

Authors: Coline Larmier, Alain Mazzolo, Andrea Zoia 

Publication date: 12 February 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external flow field. In the present paper, we build upon this observation and investigate when the conditioning on the diffusion leads to a process that is totally independent of the flow field. For this purpose, we adopt the Langevin approach, or more formally the theory of conditioned stochastic differential equations. This technique allows us to derive a large variety of stochastic processes: in particular, we introduce a new kind of Brownian bridge ending at two different final points and calculate its fundamental probabilities. This method is also very well suited for generating statistically independent paths. Numerical simulations illustrate our findings.

Full work available at URL: https://arxiv.org/abs/1909.12522

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Mathematics Subject Classification ID

Brownian motion (60J65) Interacting particle systems in time-dependent statistical mechanics (82C22)

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Cited In (10)

• Constrained Brownian processes and constrained Brownian bridges
• Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes
• Effusion of stochastic processes on a line
• First-passage time distribution of a Brownian motion: two unexpected journeys
• Conditioning diffusion processes with killing rates
• Conditioning two diffusion processes with respect to their first-encounter properties
• Microcanonical conditioning of Markov processes on time-additive observables
• Conditioning diffusion processes with respect to the local time at the origin
• Exact solutions for the probability density of various conditioned processes with an entrance boundary
• Effective Langevin equations for constrained stochastic processes

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