We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying non-linear variable transformations. Via a perturbative expansion in $ε= H-1/2$, we give the first-order corrections to the classical result for Brownian motion analytically. Using a recently introduced adaptive bisection algorithm, which is much more efficient than the standard Davies-Harte algorithm, we test our predictions for the first-passage time on grids of effective sizes up to $N_{\rm eff}=2^{28}\approx 2.7\times 10^{8}$ points. The agreement between theory and simulations is excellent, and by far exceeds in precision what can be obtained by scaling alone.
We consider a particle diffusing along the links of a general graph possessing some absorbing vertices. The particle, with a spatially-dependent diffusion constant D(x) is subjected to a drift U(x) that is defined in every point of each link. We establish the boundary conditions to be used at the vertices and we derive general expressions for the average time spent on a part of the graph before absorption and, also, for the Laplace transform of the joint law of the occupation times. Exit times distributions and splitting probabilities are also studied and several examples are discussed.
In this paper, we investigate a Brownian motion (BM) with purely time dependent drift and difusion by suggesting and examining several Brownian functionals which characterize the lifetime and reactivity of such stochastic processes. We introduce several probability distribution functions (PDFs) associated with such time dependent BMs. For instance, for a BM with initial starting point $x_0$, we derive analytical expressions for : (i) the PDF $P(t_f|x_0)$ of the first passage time $t_f$ which specify the lifetime of such stochastic process, (ii) the PDF $P(A|x_0)$ of the area A till the first p…
We prove an $H-$theorem for the Brownian motion on the hyperbolic plane with a drift, as studied by Comtet and Monthus; the entropy used here is not the Boltzmann entropy but the Rényi entropy, the parameter of which being related in a simple way to the value of the drift.
We study the occupation fluctuations of drifted Brownian motion in a closed interval, and show that they undergo a dynamical phase transition in the long-time limit without an additional low-noise limit. This phase transition is similar to wetting and depinning transitions, and arises here as a switching between paths of the random motion leading to different occupations. For low occupations, the motion essentially stays in the interval for some fraction of time before escaping, while for high occupations the motion is confined in an ergodic way in the interval. This is confirmed by studying a…
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…
The area swept out under a one-dimensional Brownian motion till its first-passage time is analysed using a backward Fokker-Planck technique. We obtain an exact expression of the area distribution for the zero drift case, and provide various asymptotic results for the non-zero drift case, emphasising the critical nature of the behaviour in the limit of vanishing drift. The results offer important insights into the asymptotic behaviour of the area-perimeter generating functions in a class of discrete polygons. We also provide a succinct derivation for the distribution of the maximum displacement…
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The analysis also leads to a simple closed-form solution for the moments of the Airy distribution.
Space dependent diffusion of micrometer sized particles has been directly observed using digital video microscopy. The particles were trapped between two nearly parallel walls making their confinement position dependent. Consequently, not only did we measure a diffusion coefficient which depended on the particles' position, but also report and explain a new effect: a drift of the particles' individual positions in the direction of the diffusion coefficient gradient, in the absence of any external force or concentration gradient.
We investigate the motion of a wedge-shaped object (a granular Brownian motor), which is restricted to move along the x-axis and cannot rotate, as gas particles collide with it. We show that its steady-state drift, resulting from inelastic gas-motor collisions, is dramatically affected by anisotropy in the velocity distribution of the gas. We identify the dimensionless parameter providing the dependence of this drift on shape, masses, inelasticity, and anisotropy: the anisotropy leads to a dramatic breaking of equipartition, which should easily be visible in experimental realizations.
Motivated by recent experiments [Science {\bf 299}, 1042 (2003)] reporting that carbon nanotubes immersed in a flowing fluid displayed an electric current and voltage, we numerically study the behaviour of a collection of Brownian particles in a channel, in the presence of a flow field applied on similar but slower particles in a wide chamber in contact with the channel. For a suitable range of shear rates, we find that the flow field induces a unidirectional drift in the confined particles, and is stronger for narrower channels. The average drift velocity initially rises with increasing shear…
We discuss an autonomous motor based on a Brownian particle driven from thermal equilibrium by periodic in time variation of the internal potential through which the particle interacts with molecules of the surrounding thermal bath. We demonstrate for such a motor the absence of a linear response regime: The average driving force and drift velocity are shown to be quadratic in both the frequency and amplitude of the variation. The adiabatic approximation (of an infinitely slow variation) and the leading correction to it (linear in the variation's frequency) both lead to zero drift and are insu…
The study of microsystems and the development of nanotechnologies require new techniques to measure piconewton and femtonewton forces at microscopic and nanoscopic scales. Amongst the challenges, there is the need to deal with the ineluctable thermal noise, which, in the typical experimental situation of a spatial diffusion gradient, causes a spurious drift. This leads to a correction term when forces are estimated from drift measurements [Phys. Rev. Lett. 104, 170602 (2010)]. Here, we provide a systematic study of such effect comparing the forces acting on various Brownian particles derived f…
We study two Brownian particles in dimension $d=1$, diffusing under an interacting resetting mechanism to a fixed position. The particles are subject to a constant drift, which biases the Brownian particles toward each other. We derive the steady-state distributions and study the late time relaxation behavior to the stationary state.
We consider an $N$-particle system of noncolliding Brownian motion starting from $x_1 \leq x_2 \leq ... \leq x_N$ with drift coefficients $ν_j, 1 \leq j \leq N$ satisfying $ν_1 \leq ν_2 \leq ... \leq ν_N$. When all of the initial points are degenerated to be zero, $x_j=0, 1 \leq j \leq N$, the equivalence is proved between a dilatation with factor $1/t$ of this drifted process and the noncolliding Brownian motion starting from $ν_1 \leq ν_2 \leq ... \leq ν_N$ without drift observed at reciprocal time $1/t$, for arbitrary $t > 0$. Using this reciprocal time relation, we study the determinantal …
We have realized real-time steering of the directed transport in a Brownian motor based on cold atoms in optical lattices, and demonstrate drifts along pre-designed paths. The transport is induced by spatiotemporal asymmetries in the system, where we can control the spatial part, and we show that the response to changes in asymmetry is very fast. In addition to the directional steering, a real-time control of the magnitude of the average drift velocity and an on/off switching of the motor are also demonstrated. We use a non-invasive real-time detection of the transport, enabling a feedback con…
Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by time-dependent drift and diffusion coefficients. Modeling such systems requires solving the associated Fokker-Planck equation subject to an absorbing barrier. Transitional probabilities are derived via the method of images, whose applicability to time dependent problems is shown to be limited to state-independent drift and diffusion coefficients that only depend on…
Drift-diffusion interplay in active Brownian particles under orienting field
University of Vienna（维也纳大学）；Università di Padova（帕多瓦大学）；Max Planck Institute of Microstructure Physics（马克斯·普朗克微观结构物理研究所）；Wrocław University of Science and Technology（弗罗茨瓦夫科技大学）；Akhiezer Institute for Theoretical Physics National Science Center “Kharkiv Institute of Physics and Technology”（阿赫梅泽尔理论物理研究所 国家科学中心“哈尔科夫物理技术研究院”）
We investigated three models of Brownian motors which convert rotational diffusion into directed translational motion by switching on and off a potential. In the first model a spatially asymmetric potential generates directed translational motion by rectifying rotational diffusion. It behaves much like a conventional flashing ratchet. The second model utilizes both rotational diffusion and drift to generate translational motion without spatial asymmetry in the potential. This second model can be driven by a combination of a Brownian motor mechanism (diffusion driven) or by powerstroke (drift d…
Using the determinantal formula of Biane, Bougerol, and O'Connell, we give multitime joint probability densities to the noncolliding Brownian motion with drift, where the number of particles is finite. We study a special case such that the initial positions of particles are equidistant with a period $a$ and the values of drift coefficients are well-ordered with a scale $σ$. We show that, at each time $t >0$, the single-time probability density of particle system is exactly transformed to the biorthogonal Stieltjes-Wigert matrix model in the Chern-Simons theory introduced by Dolivet and Tierz. …
We calculate analytically the probability density $P(t_m)$ of the time $t_m$ at which a continuous-time Brownian motion (with and without drift) attains its maximum before passing through the origin for the first time. We also compute the joint probability density $P(M,t_m)$ of the maximum $M$ and $t_m$. In the driftless case, we find that $P(t_m)$ has power-law tails: $P(t_m)\sim t_m^{-3/2}$ for large $t_m$ and $P(t_m)\sim t_m^{-1/2}$ for small $t_m$. In presence of a drift towards the origin, $P(t_m)$ decays exponentially for large $t_m$. The results from numerical simulations are in excelle…
