Statistics of the first passage area functional for an Ornstein-Uhlenbeck process

Constraint Ornstein-Uhlenbeck bridges

In this paper, we study the Ornstein-Uhlenbeck bridge process (i.e. the Ornstein-Uhlenbeck process conditioned to start and end at fixed points) constraints to have a fixed area under its path. We present both anticipative (in this case, we need the knowledge of the future of the path) and non-anticipative versions of the stochastic process. We obtain the anticipative description thanks to the theory of generalized Gaussian bridges while the non-anticipative representation comes from the theory of stochastic control. For this last representation, a stochastic differential equation is derived w…

活性Ornstein-Uhlenbeck粒子的高效控制协议

Efficient control protocols for an active Ornstein-Uhlenbeck particle

本文将随机系统高效控制理论扩展到双稳态势阱中的活性Ornstein-Uhlenbeck粒子，发现最小化超额功的协议在广泛持续时间范围内优于恒定速度的朴素协议。

Field Theory of free Active Ornstein-Uhlenbeck Particles

We derive a Doi-Peliti field theory for free active Ornstein-Uhlenbeck particles, or, equivalently, free inertial Brownian particles, and present a way to diagonalise the Gaussian part of the action and calculate the propagator. Unlike previous course-grained approaches this formulation correctly tracks particle identity and yet can easily be expanded to include potentials and arbitrary reactions.

Generalised Ornstein-Uhlenbeck processes

We solve a physically significant extension of a classic problem in the theory of diffusion, namely the Ornstein-Uhlenbeck process [G. E. Ornstein and L. S. Uhlenbeck, Phys. Rev. 36, 823, (1930)]. Our generalised Ornstein-Uhlenbeck systems include a force which depends upon the position of the particle, as well as upon time. They exhibit anomalous diffusion at short times, and non-Maxwellian velocity distributions in equilibrium. Two approaches are used. Some statistics are obtained from a closed-form expression for the propagator of the Fokker-Planck equation for the case where the particle i…

Ornstein-Uhlenbeck Process with Fluctuating Damping

This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are obtained explicitly, with the expressions of the mean and covariance determined explicitly. Properties of the mean and covariance of the Ornstein-Uhlenbeck process with random damping, in particular the asymptotic behavior, are studied. The effect of the multiplicative noise on the stability property of the resulting processes is investigated.

Ornstein-Uhlenbeck limit for the velocity process of an $N$-particle system interacting stochastically

An $N$-particle system with stochastic interactions is considered. Interactions are driven by a Brownian noise term and total energy conservation is imposed. The evolution of the system, in velocity space, is a diffusion on a $(3N-1)$-dimensional sphere with radius fixed by the total energy. In the $N\rightarrow\infty$ limit, a finite number of velocity components are shown to evolve independently and according to an Ornstein-Uhlenbeck process.