Path probability for a Brownian motion

This work reports on numerical simulations of Brownian motion in the non-dissipative limit. The objective was to prove the existence of path probability and to compute probability values for some sample paths. By simulating a large number of particles moving from point to point under Gaussian noise...

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Bibliographic Details
Published in:Chinese science bulletin 2011, Vol.56 (34), p.3736-3740
Main Authors: Lin, TongLing, Pujos, Cyril, Ou, CongJie, Bi, WenPing, Calvayrac, Florent, Wang, Qiuping Alexandre
Format: Article
Language:English
Subjects:
Chemistry/Food Science
Earth Sciences
Engineering
Humanities and Social Sciences
Life Sciences
mathematical models
multidisciplinary
particle physics
particles
Physics
probability
Science
Science (multidisciplinary)
布朗运动
拉格朗日
数值模拟
样本路径
概率值
点对点
非耗散
高斯噪声
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Summary:This work reports on numerical simulations of Brownian motion in the non-dissipative limit. The objective was to prove the existence of path probability and to compute probability values for some sample paths. By simulating a large number of particles moving from point to point under Gaussian noise and conservative forces, we numerically determine that the path probability decreases exponentially with increasing Lagrangian action of the paths.
ISSN:1001-6538
1861-9541
DOI:10.1007/s11434-011-4803-6