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arXiv · 1905.10280

Large Deviations For Sticky Brownian Motions

Guillaume Barraquand·Mark Rychnovsky
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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.

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BibTeXRIS

Guillaume Barraquand, Mark Rychnovsky. 2020-10-08. Large Deviations For Sticky Brownian Motions. https://doi.org/10.1214/20-ejp515

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