The Annals of Probability

Optimal surviving strategy for drifted Brownian motions with absorption

Wenpin Tang and Li-Cheng Tsai

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Abstract

We study the “Up the River” problem formulated by Aldous (2002), where a unit drift is distributed among a finite collection of Brownian particles on $\mathbb{R}_{+}$, which are annihilated once they reach the origin. Starting $K$ particles at $x=1$, we prove Aldous’ conjecture [Aldous (2002)] that the “push-the-laggard” strategy of distributing the drift asymptotically (as $K\to\infty$) maximizes the total number of surviving particles, with approximately $\frac{4}{\sqrt{\pi}}\sqrt{K}$ surviving particles. We further establish the hydrodynamic limit of the particle density, in terms of a two-phase partial differential equation (PDE) with a moving boundary, by utilizing certain integral identities and coupling techniques.

Article information

Source
Ann. Probab., Volume 46, Number 3 (2018), 1597-1650.

Dates
Received: December 2015
Revised: July 2017
First available in Project Euclid: 12 April 2018

Permanent link to this document
https://projecteuclid.org/euclid.aop/1523520025

Digital Object Identifier
doi:10.1214/17-AOP1211

Mathematical Reviews number (MathSciNet)
MR3785596

Zentralblatt MATH identifier
06894782

Subjects
Primary: 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43]
Secondary: 35Q70: PDEs in connection with mechanics of particles and systems 82C22: Interacting particle systems [See also 60K35]

Keywords
Atlas model competing Brownian particles hydrodynamic limit Stefan problems moving boundary

Citation

Tang, Wenpin; Tsai, Li-Cheng. Optimal surviving strategy for drifted Brownian motions with absorption. Ann. Probab. 46 (2018), no. 3, 1597--1650. doi:10.1214/17-AOP1211. https://projecteuclid.org/euclid.aop/1523520025


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References

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