Constrained Brownian motion: Fluctuations away from circular and parabolic barriers
Ferrari, Patrik L. ; Spohn, Herbert
Ann. Probab., Tome 33 (2005) no. 1, p. 1302-1325 / Harvested from Project Euclid
Motivated by the polynuclear growth model, we consider a Brownian bridge b(t) with b(±T)=0 conditioned to stay above the semicircle $c_{T}(t)=\sqrt{T^{2}-t^{2}}$ . In the limit of large T, the fluctuation scale of b(t)−cT(t) is T1/3 and its time-correlation scale is T2/3. 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=τT, τ∈(−1,1), is only through the second derivative of cT(t) at t=τT. We also prove a corresponding result where instead of the semicircle the barrier is a parabola of height Tγ, γ>1/2. The fluctuation scale is then T(2−γ)/3. More general conditioning shapes are briefly discussed.
Publié le : 2005-07-14
Classification:  Conditioned Brownian bridge,  limiting diffusion process,  60J65,  60J60
@article{1120224582,
     author = {Ferrari, Patrik L. and Spohn, Herbert},
     title = {Constrained Brownian motion: Fluctuations away from circular and parabolic barriers},
     journal = {Ann. Probab.},
     volume = {33},
     number = {1},
     year = {2005},
     pages = { 1302-1325},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1120224582}
}
Ferrari, Patrik L.; Spohn, Herbert. Constrained Brownian motion: Fluctuations away from circular and parabolic barriers. Ann. Probab., Tome 33 (2005) no. 1, pp.  1302-1325. http://gdmltest.u-ga.fr/item/1120224582/