scholarly journals Non-Markovian effects on the Brownian motion of a free particle

2011 ◽  
Vol 390 (18-19) ◽  
pp. 3095-3107 ◽  
Author(s):  
A.O. Bolivar
Keyword(s):  
Brownian Motion ◽  
Free Particle

scholarly journals SYMMETRY REDUCTION OF BROWNIAN MOTION AND QUANTUM CALOGERO–MOSER MODELS

2012 ◽  
Vol 13 (01) ◽  
pp. 1250007
Author(s):  
SIMON HOCHGERNER
Keyword(s):  
Brownian Motion ◽  
Schrödinger Equation ◽  
Jacobi Equation ◽  
Schrodinger Equation ◽  
Free Particle ◽  
Symmetry Reduction ◽  
Reduction Scheme ◽  
Polar Actions ◽  
Stochastic Setting ◽  
Hamilton Jacobi Equation

Let Q be a Riemannian G-manifold. This paper is concerned with the symmetry reduction of Brownian motion in Q and ramifications thereof in a Hamiltonian context. Specializing to the case of polar actions, we discuss various versions of the stochastic Hamilton–Jacobi equation associated to the symmetry reduction of Brownian motion and observe some similarities to the Schrödinger equation of the quantum–free particle reduction as described by Feher and Pusztai [10]. As an application we use this reduction scheme to derive examples of quantum Calogero–Moser systems from a stochastic setting.

scholarly journals A path integral approach to the Langevin equation

2015 ◽  
Vol 30 (07) ◽  
pp. 1550028 ◽  
Author(s):  
Ashok K. Das ◽  
Sudhakar Panda ◽  
J. R. L. Santos
Keyword(s):  
Brownian Motion ◽  
Path Integral ◽  
Langevin Equation ◽  
Correlation Functions ◽  
Free Particle ◽  
Transition Amplitude ◽  
Planck Equation ◽  
Markovian Process ◽  
Integral Approach ◽  
Generalized Langevin Equation

We study the Langevin equation with both a white noise and a colored noise. We construct the Lagrangian as well as the Hamiltonian for the generalized Langevin equation which leads naturally to a path integral description from first principles. This derivation clarifies the meaning of the additional fields introduced by Martin, Siggia and Rose in their functional formalism. We show that the transition amplitude, in this case, is the generating functional for correlation functions. We work out explicitly the correlation functions for the Markovian process of the Brownian motion of a free particle as well as for that of the non-Markovian process of the Brownian motion of a harmonic oscillator (Uhlenbeck–Ornstein model). The path integral description also leads to a simple derivation of the Fokker–Planck equation for the generalized Langevin equation.

Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion

2007 ◽  
Vol 44 (02) ◽  
pp. 393-408 ◽  
Author(s):  
Allan Sly
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
White Noise ◽  
Gaussian Process ◽  
Discrete Data ◽  
Hölder Exponent ◽  
Scaling Properties ◽  
Multifractional Brownian Motion ◽  
Local Properties

Multifractional Brownian motion is a Gaussian process which has changing scaling properties generated by varying the local Hölder exponent. We show that multifractional Brownian motion is very sensitive to changes in the selected Hölder exponent and has extreme changes in magnitude. We suggest an alternative stochastic process, called integrated fractional white noise, which retains the important local properties but avoids the undesirable oscillations in magnitude. We also show how the Hölder exponent can be estimated locally from discrete data in this model.

Brownian motion with quadratic killing and some implications

1986 ◽  
Vol 23 (04) ◽  
pp. 893-903 ◽  
Author(s):  
Michael L. Wenocur
Keyword(s):  
Brownian Motion ◽  
Weibull Distribution ◽  
Special Function ◽  
Function Theory ◽  
Killing Rate

Brownian motion subject to a quadratic killing rate and its connection with the Weibull distribution is analyzed. The distribution obtained for the process killing time significantly generalizes the Weibull. The derivation involves the use of the Karhunen–Loève expansion for Brownian motion, special function theory, and the calculus of residues.

Sign in / Sign up

Export Citation Format

Share Document