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2020 Large deviations for sticky Brownian motions
Guillaume Barraquand, Mark Rychnovsky
Electron. J. Probab. 25: 1-52 (2020). DOI: 10.1214/20-EJP515

Abstract

We consider $n$-point sticky Brownian motions: a family of $n$ diffusions that evolve as independent Brownian motions when they are apart, and interact locally so that the set of coincidence times has positive Lebesgue measure with positive probability. These diffusions can also be seen as $n$ random motions in a random environment whose distribution is given by so-called stochastic flows of kernels. For a specific type of sticky interaction, we prove exact formulas characterizing the stochastic flow and show that in the large deviations regime, the random fluctuations of these stochastic flows are Tracy-Widom GUE distributed. An equivalent formulation of this result states that the extremal particle among $n$ sticky Brownian motions has Tracy-Widom distributed fluctuations in the large $n$ and large time limit. These results are proved by viewing sticky Brownian motions as a (previously known) limit of the exactly solvable beta random walk in random environment.

Citation

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Guillaume Barraquand. Mark Rychnovsky. "Large deviations for sticky Brownian motions." Electron. J. Probab. 25 1 - 52, 2020. https://doi.org/10.1214/20-EJP515

Information

Received: 26 August 2019; Accepted: 26 August 2020; Published: 2020
First available in Project Euclid: 28 September 2020

Digital Object Identifier: 10.1214/20-EJP515

Subjects:
Primary: 60B20, 60F10, 82B21, 82B23, 82C22

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