Sweetest taboo processes

Abstract

Brownian dynamics play a key role in understanding the diffusive transport of micro particles in a bounded environment. In geometries containing confining walls, physical laws determine the behavior of the random trajectories at the boundaries. For impenetrable walls, imposing reflecting boundary conditions to the Brownian particles leads to dynamics described by reflecting stochastic differential equations. In practice, these stochastic differential equations as well as their refinements are quite challenging to handle, and more importantly, many physical processes are better modeled by processes conditioned to stay in a prescribed bounded region. In the mathematical literature, these processes are known as taboo processes, and despite their simplicity, at least compared to the reflecting stochastic differential equations approach, are surprisingly not much exploited in physics. This paper explores some aspect of taboo processes and other constrained processes in simple geometries: Interval in one dimension, circular annulus in two dimensions, hollow sphere in three dimensions, and more. In particular, for the two-dimensional taboo process in a circular annulus, the Gaussian behavior of the stochastic angle is established.

36 pages, 8 figures

References in corpus (3)

• Constraint Ornstein-Uhlenbeck bridges
• Killing (absorption) versus survival in random motion
• Winding statistics of a Brownian particle on a ring

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