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arXiv · 2301.12304

Ornstein-Uhlenbeck process and generalizations: particle's dynamics under comb constraints and stochastic resetting

Pece Trajanovski·Petar Jolakoski·Kiril Zelenkovski·Alexander Iomin·Ljupco Kocarev·Trifce Sandev
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Abstract

The Ornstein-Uhlenbeck process is interpreted as Brownian motion in a harmonic potential. This Gaussian Markov process has a bounded variance and admits a stationary probability distribution, in contrast to the standard Brownian motion. It also tends to a drift towards its mean function, and such a process is called mean-reverting. Two examples of the generalized Ornstein-Uhlenbeck process are considered. In the first one, we study the Ornstein-Uhlenbeck process on a comb model, as an example of the harmonically bounded random motion in the topologically constrained geometry. The main dynamical characteristics (as the first and the second moments) and the probability density function are studied in the framework of both the Langevin stochastic equation and the Fokker-Planck equation. The second example is devoted to the study of the effects of stochastic resetting on the Ornstein-Uhlenbeck process, including stochastic resetting in the comb geometry. Here, the non-equilibrium stationary state is the main question in task, where the two divergent forces, namely the resetting and the drift towards the mean, lead to compelling results both in the case of the Ornstein-Uhlenbeck process with resetting and its generalization on the two dimensional comb structure.

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Pece Trajanovski, Petar Jolakoski, Kiril Zelenkovski, Alexander Iomin, Ljupco Kocarev, Trifce Sandev. 2023-01-28. Ornstein-Uhlenbeck process and generalizations: particle's dynamics under comb constraints and stochastic resetting. https://doi.org/10.1103/physreve.107.054129

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