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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
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.
UDC:
519.21+621.391.1
MSC: Primary
60J65; Secondary
60F05,
60F10,
60J35,
60G15 Received: 04.03.2016 and 14.11.2016
DOI:
10.4213/sm8692