Sampling fractional Brownian motion in presence of absorption: a Markov Chain method

We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a large number of 10^7 time steps even for small values like H=1/4. The results are compatible with previous analytical results that the distribution of (rescaled) endpoints y follow a power law P(y) y^\phi with \phi=(1-H)/H, even for small values of H. Furthermore, for the case H=0.5 we also study analytically the finite-length corrections to the first order, namely a plateau of P(y) for y->0 which decreases with increasing process length. These corrections are compatible with the numerical results.Comment: 9 pages, 8 figures; (v3: two addition values of H simulated, extrapolation of phi for H<1/2

Maximum of N Independent Brownian Walkers till the First Exit From the Half Space

We consider the one-dimensional target search process that involves an immobile target located at the origin and $N$ searchers performing independent Brownian motions starting at the initial positions $\vec x = (x_1,x_2,..., x_N)$ all on the positive half space. The process stops when the target is first found by one of the searchers. We compute the probability distribution of the maximum distance $m$ visited by the searchers till the stopping time and show that it has a power law tail: $P_N(m|\vec x)\sim B_N (x_1x_2... x_N)/m^{N+1}$ for large $m$. Thus all moments of $m$ up to the order $(N-1)$ are finite, while the higher moments diverge. The prefactor $B_N$ increases with $N$ faster than exponentially. Our solution gives the exit probability of a set of $N$ particles from a box $[0,L]$ through the left boundary. Incidentally, it also provides an exact solution of the Laplace's equation in an $N$-dimensional hypercube with some prescribed boundary conditions. The analytical results are in excellent agreement with Monte Carlo simulations.Comment: 18 pages, 9 figure

High-precision simulation of the height distribution for the KPZ equation

The one-point distribution of the height for the continuum Kardar-Parisi-Zhang (KPZ) equation is determined numerically using the mapping to the directed polymer in a random potential at high temperature. Using an importance sampling approach, the distribution is obtained over a large range of values, down to a probability density as small as 10^{-1000} in the tails. Both short and long times are investigated and compared with recent analytical predictions for the large-deviation forms of the probability of rare fluctuations. At short times the agreement with the analytical expression is spectacular. We observe that the far left and right tails, with exponents 5/2 and 3/2 respectively, are preserved until large time. We present some evidence for the predicted non-trivial crossover in the left tail from the 5/2 tail exponent to the cubic tail of Tracy-Widom, although the details of the full scaling form remains beyond reach.Comment: 6 pages, 5 figure

Maximum Distance Between the Leader and the Laggard for Three Brownian Walkers

We consider three independent Brownian walkers moving on a line. The process terminates when the left-most walker (the `Leader') meets either of the other two walkers. For arbitrary values of the diffusion constants D_1 (the Leader), D_2 and D_3 of the three walkers, we compute the probability distribution P(m|y_2,y_3) of the maximum distance m between the Leader and the current right-most particle (the `Laggard') during the process, where y_2 and y_3 are the initial distances between the leader and the other two walkers. The result has, for large m, the form P(m|y_2,y_3) \sim A(y_2,y_3) m^{-\delta}, where \delta = (2\pi-\theta)/(\pi-\theta) and \theta = cos^{-1}(D_1/\sqrt{(D_1+D_2)(D_1+D_3)}. The amplitude A(y_2,y_3) is also determined exactly

A Classically Singular Representation of suq(n) su_q(n)

A \rep of \sun, which diverges in the limit of \cl, is investigated. This is an infinite dimensional and a non-unitary \rep, defined for the real value of $q, \ 0 < q < 1.$ Each \irrep is specified by $n$ continuous variables and one discrete variable. This \rep gives a new solution of the Yang-Baxter equation, when the R-matrix is evaluated. It is shown that a continuous variables can be regarded as a spectral parameter.Comment: 8 pages, phyzzx, RCNP - 05

Two-parameter quantum general linear supergroups

The universal R-matrix of two-parameter quantum general linear supergroups is computed explicitly based on the RTT realization of Faddeev--Reshetikhin--Takhtajan.Comment: v1: 14 pages. v2: published version, 9 pages, title changed and the section on central extension remove

Representations of the quantum matrix algebra Mq,p(2)M_{q,p}(2)

It is shown that the finite dimensional irreducible representaions of the quantum matrix algebra $M_{ q,p}(2)$ ( the coordinate ring of $GL_{q,p}(2)$) exist only when both q and p are roots of unity. In this case th e space of states has either the topology of a torus or a cylinder which may be thought of as generalizations of cyclic representations.Comment: 20 page