In the mathematical field of probability, the Wiener sausage is a neighborhood of the trace of a Brownian motion up to a time t, given by taking all points within a fixed distance of Brownian motion. It can be visualized as a sausage of fixed radius whose centerline is Brownian motion. The Wiener sausage was named after Norbert Wiener by M. D. Donsker and S. R. Srinivasa Varadhan (1975) because of its relation to the Wiener process; the name is also a pun on Vienna sausage, as "Wiener" is German for "Viennese".
The Wiener sausage Wδ(t) of radius δ and length t is the set-valued random variable on Brownian pathsb (in some Euclidean space) defined by
is the set of points within a distance δ of some point b(x) of the path b with 0≤x≤t.
Volume of the Wiener sausageedit
There has been a lot of work on the behavior of the volume (Lebesgue measure) |Wδ(t)| of the Wiener sausage as it becomes thin (δ→0); by rescaling, this is essentially equivalent to studying the volume as the sausage becomes long (t→∞).
Spitzer (1964) showed that in 3 dimensions the expected value of the volume of the sausage is
In dimension d at least 3 the volume of the Wiener sausage is asymptotic to
as t tends to infinity. In dimensions 1 and 2 this formula gets replaced by and respectively. Whitman (1964), a student of Spitzer, proved similar results for generalizations of Wiener sausages with cross sections given by more general compact sets than balls.
Referencesedit
Donsker, M. D.; Varadhan, S. R. S. (1975), "Asymptotics for the Wiener sausage", Communications on Pure and Applied Mathematics, 28 (4): 525–565, doi:10.1002/cpa.3160280406
Kac, M.; Luttinger, J. M. (1973), "Bose-Einstein condensation in the presence of impurities", J. Math. Phys., 14 (11): 1626–1628, Bibcode:1973JMP....14.1626K, doi:10.1063/1.1666234, MR 0342114
Kac, M.; Luttinger, J. M. (1974), "Bose-Einstein condensation in the presence of impurities. II", J. Math. Phys., 15 (2): 183–186, Bibcode:1974JMP....15..183K, doi:10.1063/1.1666617, MR 0342115
Simon, Barry (2005), Functional integration and quantum physics, Providence, RI: AMS Chelsea Publishing, ISBN0-8218-3582-3, MR 2105995 Especially chapter 22.
Spitzer, F. (1964), "Electrostatic capacity, heat flow and Brownian motion", Probability Theory and Related Fields, 3 (2): 110–121, doi:10.1007/BF00535970, S2CID 198179345
Sznitman, Alain-Sol (1998), Brownian motion, obstacles and random media, Springer Monographs in Mathematics, Berlin: Springer-Verlag, doi:10.1007/978-3-662-11281-6, ISBN3-540-64554-3, MR 1717054 An advanced monograph covering the Wiener sausage.
Whitman, Walter William (1964), Some Strong Laws for Random Walks and Brownian Motion, PhD Thesis, Cornell U.
November 26, 2023
wiener, sausage, food, item, vienna, sausage, mathematical, field, probability, neighborhood, trace, brownian, motion, time, given, taking, points, within, fixed, distance, brownian, motion, visualized, sausage, fixed, radius, whose, centerline, brownian, moti. For the food item see Vienna sausage In the mathematical field of probability the Wiener sausage is a neighborhood of the trace of a Brownian motion up to a time t given by taking all points within a fixed distance of Brownian motion It can be visualized as a sausage of fixed radius whose centerline is Brownian motion The Wiener sausage was named after Norbert Wiener by M D Donsker and S R Srinivasa Varadhan 1975 because of its relation to the Wiener process the name is also a pun on Vienna sausage as Wiener is German for Viennese A long thin Wiener sausage in 3 dimensionsA short fat Wiener sausage in 2 dimensionsThe Wiener sausage is one of the simplest non Markovian functionals of Brownian motion Its applications include stochastic phenomena including heat conduction It was first described by Frank Spitzer 1964 and it was used by Mark Kac and Joaquin Mazdak Luttinger 1973 1974 to explain results of a Bose Einstein condensate with proofs published by M D Donsker and S R Srinivasa Varadhan 1975 Definitions editThe Wiener sausage Wd t of radius d and length t is the set valued random variable on Brownian paths b in some Euclidean space defined by W d t b displaystyle W delta t b nbsp is the set of points within a distance d of some point b x of the path b with 0 x t Volume of the Wiener sausage editThere has been a lot of work on the behavior of the volume Lebesgue measure Wd t of the Wiener sausage as it becomes thin d 0 by rescaling this is essentially equivalent to studying the volume as the sausage becomes long t Spitzer 1964 showed that in 3 dimensions the expected value of the volume of the sausage is E W d t 2 p d t 4 d 2 2 p t 4 p d 3 3 displaystyle E W delta t 2 pi delta t 4 delta 2 sqrt 2 pi t 4 pi delta 3 3 nbsp In dimension d at least 3 the volume of the Wiener sausage is asymptotic to d d 2 p d 2 2 t G d 2 2 displaystyle delta d 2 pi d 2 2t Gamma d 2 2 nbsp as t tends to infinity In dimensions 1 and 2 this formula gets replaced by 8 t p displaystyle sqrt 8t pi nbsp and 2 p t log t displaystyle 2 pi t log t nbsp respectively Whitman 1964 a student of Spitzer proved similar results for generalizations of Wiener sausages with cross sections given by more general compact sets than balls References editDonsker M D Varadhan S R S 1975 Asymptotics for the Wiener sausage Communications on Pure and Applied Mathematics 28 4 525 565 doi 10 1002 cpa 3160280406 Hollander F den 2001 1994 Wiener sausage Encyclopedia of Mathematics EMS Press Kac M Luttinger J M 1973 Bose Einstein condensation in the presence of impurities J Math Phys 14 11 1626 1628 Bibcode 1973JMP 14 1626K doi 10 1063 1 1666234 MR 0342114 Kac M Luttinger J M 1974 Bose Einstein condensation in the presence of impurities II J Math Phys 15 2 183 186 Bibcode 1974JMP 15 183K doi 10 1063 1 1666617 MR 0342115 Simon Barry 2005 Functional integration and quantum physics Providence RI AMS Chelsea Publishing ISBN 0 8218 3582 3 MR 2105995 Especially chapter 22 Spitzer F 1964 Electrostatic capacity heat flow and Brownian motion Probability Theory and Related Fields 3 2 110 121 doi 10 1007 BF00535970 S2CID 198179345 Spitzer Frank 1976 Principles of random walks Graduate Texts in Mathematics vol 34 New York Heidelberg Springer Verlag p 40 MR 0171290 Reprint of 1964 edition Sznitman Alain Sol 1998 Brownian motion obstacles and random media Springer Monographs in Mathematics Berlin Springer Verlag doi 10 1007 978 3 662 11281 6 ISBN 3 540 64554 3 MR 1717054 An advanced monograph covering the Wiener sausage Whitman Walter William 1964 Some Strong Laws for Random Walks and Brownian Motion PhD Thesis Cornell U Retrieved from https en wikipedia org w index php title Wiener sausage amp oldid 1136393883, wikipedia, wiki, book, books, library,