Maximum of N Independent Brownian Walkers till the First Exit From the Half Space

Abstract

We consider the one-dimensional target search process that involves an immobile target located at the origin and $N$ searchers performing independent Brownian motions starting at the initial positions $\vec{x}=(x_1,x_2,...,x_N)$ all on the positive half space. The process stops when the target is first found by one of the searchers. We compute the probability distribution of the maximum distance $m$ visited by the searchers till the stopping time and show that it has a power law tail: $P_N(m|\vec{x})\sim B_N(x_1{x}_2...x_N)/m^{N+1}$ for large $m$. Thus all moments of $m$ up to the order $(N-1)$ are finite, while the higher moments diverge. The prefactor $B_N$ increases with $N$ faster than exponentially. Our solution gives the exit probability of a set of $N$ particles from a box $[0,L]$ through the left boundary. Incidentally, it also provides an exact solution of the Laplace's equation in an $N$-dimensional hypercube with some prescribed boundary conditions. The analytical results are in excellent agreement with Monte Carlo simulations.

arXiv comment18 pages, 9 figures

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