We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and reflected bridges associated with Brownian motion. By subsequently integrating over M, the marginal density P(t_m) is obtained in each case in the form of a doubly infinite series. For the excursion and meander, we analyse the moments and asymptotic limits of P(t_m) in some detail and show that the theoretical results are in excellent accord with numerical simulations. Our primary method of derivation is based on a path integral technique; however, an alternative approach is also outlined which is founded on certain "agreement formulae" that are encountered more generally in probabilistic studies of Brownian motion processes.
We propose a novel stochastic method to exactly generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$. These paths are weighted with a probability given by the overdamped Langevin dynamics. We show how these paths can be exactly generated by a local stochastic differential equation. The method is illustrated on the generation of Brownian bridges, Brownian meanders, Brownian excursions and constrained Ornstein-Uehlenbeck processes. In addition, we show how to solve this equation in the case of a general force acting on the pa…
The optimal fluctuation method -- essentially geometrical optics -- gives a deep insight into large deviations of Brownian motion. Here we illustrate this point by telling three short stories about Brownian motions, "pushed" into a large-deviation regime by constraints. In story 1 we compute the short-time large deviation function (LDF) of the winding angle of a Brownian particle wandering around a reflecting disk in the plane. Story 2 addresses a stretched Brownian motion above absorbing obstacles in the plane. We compute the short-time LDF of the position of the surviving Brownian particle a…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external flow field. In the present paper, we build upon this observation and investigate when the conditioning on the diffusion leads to a process that is totally independent of the flow field. For this purpose, we adopt the Langevin approach, or more formally the theory of conditioned stochastic differential equations. This technique allows us to derive a large varie…
A conditioned stochastic process can display a very different behavior from the unconditioned process. In particular, a conditioned process can exhibit non-Gaussian fluctuations even if the unconditioned process is Gaussian. In this work, we revisit the Ferrari-Spohn model of a Brownian bridge conditioned to avoid a moving wall, which pushes the system into a large-deviation regime. We extend this model to an arbitrary number $N$ of non-crossing Brownian bridges. We obtain the joint distribution of the distances of the Brownian particles from the wall at an intermediate time in the form of the…
We study large fluctuations of the area $\mathcal{A}$ under a Brownian excursion $x(t)$ on the time interval $|t|\leq T$, constrained to stay away from a moving wall $x_0(t)$ such that $x_0(-T)=x_0(T)=0$ and $x_0(|t|<T)>0$. We focus on wall functions described by a family of generalized parabolas $x_0(t)=T^γ [1-(t/T)^{2k}]$, where $k\geq 1$. Using the optimal fluctuation method (OFM), we calculate the large deviation function (LDF) of the area at long times. The OFM provides a simple description of the area fluctuations in terms of optimal paths, or rays, of the Brownian motion. We show that t…
We study a Brownian excursion on the time interval $\left|t\right|\leq T$, conditioned to stay above a moving wall $x_{0}\left(t\right)$ such that $x_0\left(-T\right)=x_0\left(T\right)=0$, and $x_{0}\left(\left|t\right|<T\right)>0$. For a whole class of moving walls, typical fluctuations of the conditioned Brownian excursion are described by the Ferrari-Spohn (FS) distribution and exhibit the Kardar-Parisi-Zhang (KPZ) dynamic scaling exponents $1/3$ and $2/3$. Here we use the optimal fluctuation method (OFM) to study atypical fluctuations, which turn out to be quite different. The OFM provides…
We discuss the eigenvalue detachment transition in terms of scaling of fluctuations in ensembles of paths located near convex boundaries of various physical nature. We consider numerically the BBP-like (Baik-Ben Arous-Péché) transition from the Gaussian to the Tracy-Widom scaling of fluctuations in several statistical systems for both canonical and microcanonical ensembles and identify the corresponding control parameter in each case. In particular, for fixed path length (microcanonical) ensemble of paths located in the vicinity of a partially permeable semicircle, the transition occurs at the…
We use the Real Space Renormalization Group (RSRG) method to study extreme value statistics for a variety of Brownian motions, free or constrained such as the Brownian bridge, excursion, meander and reflected bridge, recovering some standard results, and extending others. We apply the same method to compute the distribution of extrema of Bessel processes. We briefly show how the continuous time random walk (CTRW) corresponds to a non standard fixed point of the RSRG transformation.
Shortcuts to isothermality provide a powerful method to speed up quasistatic thermodynamic processes within finite-time manipulation. We employ the shortcut strategy to design and optimize Brownian heat engines, and formulate a geometric description of the energetics with the thermodynamic length. We obtain a tight and reachable bound of the output power, which is reached by the optimal protocol to vary the control parameters with a proper constant velocity of the thermodynamic length. Our results generalize the previous optimization in the highly underdamped and the overdamped regimes to the …
We study the statistics of near-extreme events of Brownian motion (BM) on the time interval [0,t]. We focus on the density of states (DOS) near the maximum ρ(r,t) which is the amount of time spent by the process at a distance r from the maximum. We develop a path integral approach to study functionals of the maximum of BM, which allows us to study the full probability density function (PDF) of ρ(r,t) and obtain an explicit expression for the moments, \langle [ρ(r,t)]^k \rangle, for arbitrary integer k. We also study near-extremes of constrained BM, like the Brownian bridge. Finally we also pre…
We introduce a resetting Brownian bridge as a simple model to study search processes where the total search time $t_f$ is finite and the searcher returns to its starting point at $t_f$. This is simply a Brownian motion with a Poissonian resetting rate $r$ to the origin which is constrained to start and end at the origin at time $t_f$. We first provide a rejection-free algorithm to generate such resetting bridges in all dimensions by deriving an effective Langevin equation with an explicit space-time dependent drift $\tilde μ({\bf x},t)$ and resetting rate $\tilde r({\bf x}, t)$. We also study …
We study the random acceleration model, which is perhaps one of the simplest, yet nontrivial, non-Markov stochastic processes, and is key to many applications. For this non-Markov process, we present exact analytical results for the probability density $p(t_m|T)$ of the time $t_m$ at which the process reaches its maximum, within a fixed time interval $[0,T]$. We study two different boundary conditions, which correspond to the process representing respectively (i) the integral of a Brownian bridge and (ii) the integral of a free Brownian motion. Our analytical results are also verified by numer…
We study the extreme statistics of N non-intersecting Brownian motions (vicious walkers) over a unit time interval in one dimension. Using path-integral techniques we compute exactly the joint distribution of the maximum M and of the time τ_M at which this maximum is reached. We focus in particular on non-intersecting Brownian bridges ("watermelons without wall") and non-intersecting Brownian excursions ("watermelons with a wall"). We discuss in detail the relationships between such vicious walkers models in watermelons configurations and stochastic growth models in curved geometry on the one …
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the process and the time $t_{\rm max}$ at which the maximum is reached. They are encoded in a path integral, which we evaluate perturbatively around a Brownian, setting $H=1/2 + \varepsilon$. This allows us to derive analytic results beyond the scaling exponents. Extensive numerical simulations for different values of $H$ test these analytical predictions and show …
A possible mechanism leading to anomalous diffusion is the presence of long-range correlations in time between the displacements of the particles. Fractional Brownian motion, a non-Markovian self-similar Gaussian process with stationary increments, is a prototypical model for this situation. Here, we extend the previous results found for unbiased reflected fractional Brownian motion [Phys. Rev. E 97, 020102(R) (2018)] to the biased case by means of Monte Carlo simulations and scaling arguments. We demonstrate that the interplay between the reflecting wall and the correlations leads to highly n…
We present an analysis of the mean-field kinetics of Brownian coagulation of droplets and polymers driven by input of monomers which aims to characterize the long time behavior of the cluster size distribution as a function of the inverse fractal dimension, $a$, of the aggregates. We find that two types of long time behavior are possible. For $0\leq a < 1/2$ the size distribution reaches a stationary state with a power law distribution of cluster sizes having exponent 3/2. The amplitude of this stationary state is determined exactly as a function of $a$. For $1/2 < a \leq 1$, the cluster size …
Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes called fractional Brownian motion, indexed by the Hurst exponent $H$. For $H=1/2$, Brownian motion is recovered. We develop a perturbative approach to treat the non-locality in time in an expansion in $\varepsilon = H-1/2$. This allows us to derive analytic results beyond scaling exponents for various observables related to extreme value statistics: The maximum $m$ of the process and the time $t_{\text{max}}$ at whic…
The current understanding of pinned Brownian bridges is based on the Onsager-Machlup (OM) functional. The continuous-time limit of the OM functional can be expressed either by using the Fokker-Planck equation or by using the Radon-Nikodym derivative with the help of the Girsanov theorem and Ito's lemma. The resulting expression, called here, the Ito-Girsanov (IG) measure, has been used as a basis of algorithms designed to create ensembles of transition paths, paths that are constrained to start in one free energy basin and end in another. Here we explore the underlying formalism and show that …
A fundamental and intrinsic property of any device or natural system is its relaxation time relax, which is the time it takes to return to equilibrium after the sudden change of a control parameter [1]. Reducing $tau$ relax , is frequently necessary, and is often obtained by a complex feedback process. To overcome the limitations of such an approach, alternative methods based on driving have been recently demonstrated [2, 3], for isolated quantum and classical systems [4--9]. Their extension to open systems in contact with a thermostat is a stumbling block for applications. Here, we design a p…
At fast timescales, the self-similarity of random Brownian motion is expected to break down and be replaced by ballistic motion. So far, an experimental verification of this prediction has been out of reach due to a lack of instrumentation fast and precise enough to capture this motion. With a newly developed detector, we have been able to observe the Brownian motion of a single particle in an optical trap with 75 MHz bandwidth and sub-{AA}ngstrom spatial precision. We report the first measurements of ballistic Brownian motion as well as the first determination of the velocity autocorrelation …
A Brownian information machine extracts work from a heat bath through a feedback process that exploits the information acquired in a measurement. For the paradigmatic case of a particle trapped in a harmonic potential, we determine how power and efficiency for two variants of such a machine operating cyclically depend on the cycle time and the precision of the positional measurements. Controlling only the center of the trap leads to a machine that has zero efficiency at maximum power whereas additional optimal control of the stiffness of the trap leads to an efficiency bounded between 1/2, whi…
We propose an optimization strategy to control the dynamics of a stochastic system transferred from one thermal equilibrium to another and apply it experimentally to a Brownian particle in an optical trap under compression. Based on a variational principle that treats the transfer duration and the expended work on an equal footing, our strategy leads to a family of protocols that are either optimally cheap for a given duration or optimally fast for a given energetic cost. This approach unveils a universal relation $Δt\,ΔW \ge (Δt\,ΔW)_{\rm opt}$ between the transfer duration and the expended w…
The mean first passage time (MFPT) for a Brownian particle to reach a small target in cellular microdomains is a key parameter for chemical activation. Although asymptotic estimations of the MFPT are available for various geometries, these formula cannot be applied to degenerated structures where one dimension of is much smaller compared to the others. Here we study the narrow escape time (NET) problem for a Brownian particle to reach a small target located on the surface of a flat cylinder, where the cylinder height is comparable to the target size, and much smaller than the cylinder radius. …
Mortality introduces an intrinsic time scale into the scale-invariant Brownian motion. This fact has important consequences for different statistics of Brownian motion. Here we are telling three short stories, where spontaneous death, such as radioactive decay, puts a natural limit to "lifetime achievements" of a Brownian particle. In story 1 we determine the probability distribution of a mortal Brownian particle (MBP) reaching a specified point in space at the time of its death. In story 2 we determine the probability distribution of the area $A=\int_0^{T} x(t) dt$ of a MBP on the line. Story…
We consider a random walker on a ring, subjected to resetting at Poisson-distributed times to the initial position (the walker takes the shortest path along the ring to the initial position at resetting times). In the case of a Brownian random walker the mean first-completion time of a turn is expressed in closed form as a function of the resetting rate. The value is shorter than in the ordinary process if the resetting rate is low enough. Moreover, the mean first-completion time of a turn can be minimised in the resetting rate. At large time the distribution of winding numbers does not reach …
We propose a method to exactly generate bridge run-and-tumble trajectories that are constrained to start at the origin with a given velocity and to return to the origin after a fixed time with another given velocity. The method extends the concept of effective Langevin equations, valid for Markovian stochastic processes such as Brownian motion, to a non-Markovian stochastic process driven by a telegraphic noise, with exponentially decaying correlations. We obtain effective space-time dependent tumbling rates that implicitly accounts for the bridge constraint. We extend the method to other type…
We study here the extreme statistics of Brownian particles escaping from a cusp funnel: the fastest Brownian particles among $n$ follow an ensemble of optimal trajectories located near the shortest path from the source to the target. For the time of such first arrivers, we derive an asymptotic formula that differs from the classical narrow escape and dire strait obtained for the mean first passage time. Consequently, when particles are initially distributed at a given distance from a cusp, the fastest do see some properties characterizing the cusp geometry. Therefore, when many particles diffu…
Recent experimental studies have demonstrated that cellular motion can be directed by topographical gradients, such as those resulting from spatial variations in the features of a micropatterned substrate. This phenomenon, known as topotaxis, is especially prominent among cells persistently crawling within a spatially varying distribution of cell-sized obstacles. In this article we introduce a toy model of topotaxis based on active Brownian particles constrained to move in a lattice of obstacles, with space-dependent lattice spacing. Using numerical simulations and analytical arguments, we dem…
We study experimentally and theoretically the optimal mean time needed by a free diffusing Brownian particle to reach a target at a distance L from an initial position in the presence of resetting. Both the initial position and the resetting position are Gaussian distributed with width $σ$. We derived and tested two resetting protocols, one with a periodic and one with random (Poissonian) resetting times. We computed and measured the full first-passage probability distribution that displays spectacular spikes immediately after each resetting time for close targets. We study the optimal mean fi…
We study a model of Brownian particles which are pumped with energy by means of a non-linear friction function, for which different types are discussed. A suitable expression for a non-linear, velocity-dependent friction function is derived by considering an internal energy depot of the Brownian particles. In this case, the friction function describes the pumping of energy in the range of small velocities, while in the range of large velocities the known limit of dissipative friction is reached. In order to investigate the influence of additional energy supply, we discuss the velocity distribu…
This work focuses on the response to an external field of a Brownian particle submerged in an Ohmic quantum thermal bath. The field only affects the dynamics of the central particle without affecting the thermal reservoir. The thermodynamic function to be analyzed is the average work due only to the external force. Being energy a non-local function of the protocol, a standard variational principle is used to derive it. It was found that the energy reaches a minimum imposing a restriction on the optimal protocol. This is found by applying the variational principle to the non-local work function…
Einstein realised that the fluctuations of a Brownian particle can be used to ascertain properties of its environment. A large number of experiments have since exploited the Brownian motion of colloidal particles for studies of dissipative processes, providing insight into soft matter physics, and leading to applications from energy harvesting to medical imaging. Here we use optically levitated nanospheres that are heated to investigate the non-equilibrium properties of the gas surrounding them. Analysing the sphere's Brownian motion allows us to determine the temperature of the centre-of-mass…
The competition between local Brownian roughness and global parabolic curvature experienced in many random interface models reflects an important aspect of the KPZ universality class. It may be summarised by an exponent triple $(1/2,1/3,2/3)$ representing local interface fluctuation, local roughness (or inward deviation) and convex hull facet length. The three effects arise, for example, in droplets in planar Ising models (Alexander, '01, Hammond, '11,'12). In this article, we offer a new perspective on this phenomenon. We consider directed last passage percolation model in the plane, a paradi…
We study the position distribution of an active Brownian particle (ABP) in the presence of stochastic resetting in two spatial dimensions. We consider three different resetting protocols : (I) where both position and orientation of the particle are reset, (II) where only the position is reset, and (III) where only the orientation is reset with a certain rate $r.$ We show that in the first two cases the ABP reaches a stationary state. Using a renewal approach, we calculate exactly the stationary marginal position distributions in the limiting cases when the resetting rate $r$ is much larger or …
We optimize finite-time stochastic heat engines with a periodically scaled Hamiltonian under experimentally motivated constraints on the bath temperature $T$ and the scaling parameter $λ$. We present a general geometric proof that maximum-efficiency protocols for $T$ and $λ$ are piecewise constant, alternating between the maximum and minimum allowed values. When $λ$ is restricted to a small range and the system is close to equilibrium at the ends of the isotherms, a similar argument shows that this protocol also maximizes output power. These results are valid for arbitrary dynamics. We illustr…
Be $X_t$ a random process starting at $x \in [0,1]$ with absorbing boundary conditions at both ends of the interval. Denote $P_1(x)$ the probability to first exit at the upper boundary. For Brownian motion, $P_1(x)=x$, equivalent to $P_1'(x)=1$. For fractional Brownian motion with Hurst exponent $H$, we establish that $P_1'(x) = {\cal N} [x(1-x)]^{\frac1H -2} e^{ε{\cal F}(x)+ {\cal O}(ε^2)}$, where $ε=H-\frac12$. The function ${\cal F}(x)$ is analytic, and well approximated by its Taylor expansion, ${\cal F}(x)\simeq 16 (C-1) (x-1/2)^2 +{\cal O}(x-1/2)^4$, where $C= 0.915...$ is the Catalan-co…
We study experimentally, numerically and theoretically the optimal mean time needed by a Brownian particle, freely diffusing either in one or two dimensions, to reach, within a tolerance radius $R_{\text tol}$, a target at a distance $L$ from an initial position in the presence of resetting. The reset position is Gaussian distributed with width $σ$. We derived and tested two resetting protocols, one with a periodic and one with random (Poissonian) resetting times. We computed and measured the full first-passage probability distribution that displays spectacular spikes immediately after each re…
We study diffusion properties of an inertial Brownian motor moving on a ratchet substrate, i.e. a periodic structure with broken reflection symmetry. The motor is driven by an unbiased time-periodic symmetric force which takes the system out of thermal equilibrium. For selected parameter sets, the system is in a non-chaotic regime in which we can identify a non-monotonic dependence of the diffusion coefficient on temperature: for low temperature, it initially increases as temperature grows, passes through its local maximum, next starts to diminish reaching its local minimum and finally it mono…
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an adaptation-like current and reaching the threshold for the first time represents the condition for declaring a spike. Based on the backward Fokker-Planck formulation, we consider the survival probability of this process in a domain restricted by an absorbent boundary. The solution is given as an expansion in terms of the intensity of the time-dependent drift, which res…
Nuclear magnetic resonance (NMR) is a widely used nondestructive method to study random motion of spin-bearing particles in different systems. In the long-time limit the theoretical description of the NMR experiments is well developed and allows proper interpretation of measurements of normal and anomalous diffusion. The traditional description becomes, however, insufficient for the shorter-time dynamics of the particles. In the present paper, the all-time attenuation function of the NMR signal in a magnetic-field gradient due to the Brownian motion (BM) of particles in incompressible liquids …
We have calculated the probability distribution function G(R,L|R',0) of the end-to-end vector R-R' and the mean-square end-to-end distance (R-R')^2 of a Gaussian polymer chain embedded on a sphere S^(D-1) in D dimensions and on a cylinder, a cone and a curved torus in 3-D. We showed that: surface curvature induces a geometrical localization area; at short length the polymer is locally "flat" and (R-R')^2 = L l in all cases; at large scales, (R-R')^2 is constant for the sphere, it is linear in L for the cylinder and reaches different constant values for the torus. The cone vertex induces (funct…
We study theoretically, experimentally and numerically the probability distribution $F(t_f|x_0,L)$ of the first passage times $t_f$ needed by a freely diffusing Brownian particle to reach a target at a distance $L$ from the initial position $x_0$, taken from a normalized distribution $(1/σ)\, g(x_0/σ)$ of finite width $σ$. We show the existence of a critical value $b_c$ of the parameter $b=L/σ$, which determines the shape of $F(t_f|x_0,L)$. For $b>b_c$ the distribution $F(t_f|x_0,L)$ has a maximum and a minimum whereas for $b<b_c$ it is a monotonically decreasing function of $t_f$. This dynami…
We analyze the dynamics of a Brownian gas in contact with a heat bath in which large temperature fluctuations occur. There are two distinct time scales present, one describes the decay of the fluctuations in the temperature and the other one is associated with the establishment of local equilibrium. Although the gas has reached local equilibrium, there exist large fluctuations in an intensive parameter (temperature) which break the thermodynamic equilibrium with the heat bath. Thus the decay of the fluctuations in the intensive parameter is larger than the characteristic time for the establish…
The equilibrium properties of a system of passive diffusing particles in an external magnetic field are unaffected by the Lorentz force. In contrast, active Brownian particles exhibit steady-state phenomena that depend on both the strength and the polarity of the applied magnetic field. The intriguing effects of the Lorentz force, however, can only be observed when out-of-equilibrium density gradients are maintained in the system. To this end, we use the method of stochastic resetting on active Brownian particles in two dimensions by resetting them to the line $x=0$ at a constant rate and peri…
There is a long-standing experimental observation that the melting of topologically constrained DNA, such as circular-closed plasmids, is less abrupt than that of linear molecules. This finding points to an intriguing role of topology in the physics of DNA denaturation, which is however poorly understood. Here, we shed light on this issue by combining large-scale Brownian Dynamics simulations with an analytically solvable phenomenological Landau mean field theory. We find that the competition between melting and supercoiling leads to phase coexistence of denatured and intact phases at the sing…
We study the position distribution of a single active Brownian particle (ABP) on the plane. We show that this distribution has a compact support, the boundary of which is an expanding circle. We focus on a short-time regime and employ the optimal fluctuation method (OFM) to study large deviations of the particle position coordinates $x$ and $y$. We determine the optimal paths of the ABP, conditioned on reaching specified values of $x$ and $y$, and the large deviation functions of the marginal distributions of $x$, and of $y$. These marginal distributions match continuously with "near tails" of…
