Constrained Brownian motion: Fluctuations away from circular and parabolic barriers
Ferrari, Patrik L. ; Spohn, Herbert
arXiv, 0308242 / Harvested from arXiv
Motivated by the polynuclear growth model, we consider a Brownian bridge b(t) with b(\pm T)=0 conditioned to stay above the semicircle c_T(t)=\sqrtT^2-t^2. In the limit of large T, the fluctuation scale of b(t)-c_T(t) is T^{1/3} and its time-correlation scale is T^{2/3}. We prove that, in the sense of weak convergence of path measures, the conditioned Brownian bridge, when properly rescaled, converges to a stationary diffusion process with a drift explicitly given in terms of Airy functions. The dependence on the reference point t=\tau T, \tau\in(-1,1), is only through the second derivative of c_T(t) at t=\tau T. We also prove a corresponding result where instead of the semicircle the barrier is a parabola of height T^{\gamma}, \gamma>1/2. The fluctuation scale is then T^{(2-\gamma)/3}. More general conditioning shapes are briefly discussed.
Publié le : 2003-08-26
Classification:  Mathematics - Probability,  Mathematical Physics,  60J65 (Primary) 60J60 (Secondary)
@article{0308242,
     author = {Ferrari, Patrik L. and Spohn, Herbert},
     title = {Constrained Brownian motion: Fluctuations away from circular and
  parabolic barriers},
     journal = {arXiv},
     volume = {2003},
     number = {0},
     year = {2003},
     language = {en},
     url = {http://dml.mathdoc.fr/item/0308242}
}
Ferrari, Patrik L.; Spohn, Herbert. Constrained Brownian motion: Fluctuations away from circular and
  parabolic barriers. arXiv, Tome 2003 (2003) no. 0, . http://gdmltest.u-ga.fr/item/0308242/