Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process

DOI10.1214/19-AOP1381zbMATH Open1457.60126arXiv1704.05394MaRDI QIDQ784160FDOQ784160

Authors: C. Sabot, Xiao Lin Zeng 

Publication date: 31 July 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Consider a negatively drifted one dimensional Brownian motion starting at positive initial position, its first hitting time to 0 has the inverse Gaussian law. Moreover, conditionally on this hitting time, the Brownian motion up to that time has the law of a 3- dimensional Bessel bridge. In this paper, we give a generalization of this result to a family of Brownian motions with interacting drifts, indexed by the vertices of a conductance network. The hitting times are equal in law to the inverse of a random potential that appears in the analysis of a self-interacting process called the Vertex Reinforced Jump Process ([17, 18]). These Brownian motions with interacting drifts have remarkable properties with respect to restriction and conditioning, showing hidden Markov properties. This family of processes are closely related to the martingale that plays a crucial role in the analysis of the vertex reinforced jump process and edge reinforced random walk ([18]) on infinite graphs.

Full work available at URL: https://arxiv.org/abs/1704.05394

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=random+Schr%EF%BF%BD%EF%BF%BDdinger+operator&go=Go random Schr��dinger operator]self-interacting processeshitting time of Brownian motioninverse Gaussian lawvertex reinforced jump process

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Brownian motion (60J65) Processes in random environments (60K37) Supersymmetric field theories in quantum mechanics (81T60) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44) Quantum field theory on lattices (81T25)

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Cited In (4)

• A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes
• Interacting particle systems
• Martingales and some generalizations arising from the supersymmetric hyperbolic sigma model
• Strongly vertex-reinforced jump process on a complete graph

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