Constrained Brownian motion: Fluctuations away from circular and parabolic barriers
Patrik L. Ferrari and Herbert Spohn
Source: Ann. Probab.
Volume 33, Number 4
(2005), 1302-1325.
Abstract
Motivated by the polynuclear growth model, we consider a Brownian bridge b(t) with b(±T)=0 conditioned to stay above the semicircle
. 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.
Primary Subjects: 60J65
Secondary Subjects: 60J60
Keywords: Conditioned Brownian bridge; limiting diffusion process
Full-text: Access granted (open access)
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aop/1120224582
Digital Object Identifier: doi:10.1214/009117905000000125
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