Spherical Ornstein-Uhlenbeck processes

DOI10.1007/S10955-011-0332-6MaRDI QIDQ650197zbMATH OpenOpenAlexFDO

Authors A. Pumir, Michael Wilkinson

Publication date 25 November 2011

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.4903

zbMATH Keywords

Ornstein-Uhlenbeck processdiffusioncorrelation functionturbulencespherical motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: The paper considers random motion of a point on the surface of a sphere, in the case where the angular velocity is determined by an Ornstein-Uhlenbeck process. The solution is fully characterized by only one dimensionless number, the persistence angle, which is the typical angle of rotation of the object during the correlation time of the angular velocity. We first show that the two-dimensional case is exactly solvable. When the persistence angle is large, a series for the correlation function has the surprising property that its sum varies much more slowly than any of its individual terms. In three dimensions we obtain asymptotic forms for the correlation function, in the limits where the persistence angle is very small and very large. The latter case exhibits a complicated transient, followed by a much slower exponential decay. The decay rate is determined by the solution of a radial Schrodinger equation in which the angular momentum quantum number takes an irrational value, namely j=(sqrt{17}-1)/2. Possible applications of the model to objects tumbling in a turbulent environment are discussed.

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Cited in

(6)

• Pseudospectral solution of the Fokker-Planck equation with equilibrium bistable states: the eigenvalue spectrum and the approach to equilibrium
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations
• Spherically Invariant Random Processes: Theory and Applications
• Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
• Ornstein-Uhlenbeck process, Cauchy process, and Ornstein-Uhlenbeck-Cauchy process on a circle

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