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Sbornik: Mathematics, 2017, Volume 208, Issue 7, Pages 1014–1048
DOI: https://doi.org/10.1070/SM8692
(Mi sm8692)
 

This article is cited in 4 scientific papers (total in 4 papers)

Brownian motion on $[0,\infty)$ with linear drift, reflected at zero: exact asymptotics for ergodic means

V. R. Fatalov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
References:
Abstract: For the Brownian motion $X_\mu(t)$ on the half-axis $[0,\infty)$ with linear drift $\mu$, reflected at zero and for fixed numbers $p>0$, $\delta>0$, $d>0$, $a \geqslant 0$, we calculate the exact asymptotics as $T\to\infty$ of the mathematical expectations and probabilities
$$ \mathsf E\biggl[\exp\biggl\{-\delta\!\!\int_0^T \!\!X_\mu^p(t)\,dt\biggr\}\biggm| X_\mu(0)=a\biggr], \mathsf P\biggl\{\frac1 T\!\int_0^T \!\!X_\mu^p(t)\,dt\!<\!d\biggm| X_\mu(0)=a\biggr\}, $$
as well as of their conditional versions. For $p=1$ we give explicit formulae for the emerging constants via the Airy function. We consider an application of the results obtained to the problem of studying the behaviour of a Brownian particle in a gravitational field in a container bounded below by an impenetrable wall when $\mu=-mg/(2kT_{\mathrm K})$, where $m$ is the mass of the Brownian particle, $g$ is the gravitational acceleration, $k$ is the Boltzmann constant, $T_{\mathrm K}$ is the temperature in the Kelvin scale. The analysis is conducted by the Laplace method for the sojourn time of homogeneous Markov processes.
Bibliography: 31 titles.
Keywords: Brownian motion with drift, reflected at zero, ergodicity, sojourn time, large deviations, Airy function, Schrödinger operator.
Funding agency Grant number
Russian Foundation for Basic Research 11-01-00050-a
This research was supported by the Russian Foundation for Basic Research (grant no. 11-01-00050-a).
Received: 04.03.2016 and 14.11.2016
Russian version:
Matematicheskii Sbornik, 2017, Volume 208, Number 7, Pages 109–144
DOI: https://doi.org/10.4213/sm8692
Bibliographic databases:
Document Type: Article
UDC: 519.21+621.391.1
MSC: Primary 60J65; Secondary 60F05, 60F10, 60J35, 60G15
Language: English
Original paper language: Russian
Citation: V. R. Fatalov, “Brownian motion on $[0,\infty)$ with linear drift, reflected at zero: exact asymptotics for ergodic means”, Mat. Sb., 208:7 (2017), 109–144; Sb. Math., 208:7 (2017), 1014–1048
Citation in format AMSBIB
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\pages 109--144
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  • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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