Maximum of N Independent Brownian Walkers till the First Exit From the Half Space

Details Maximum of N Independent Brownian Walkers till the First Exit From the Half Space Maximum of N Independent Brownian Walkers till the First Exit From the Half Space

2010-04-28

arxiv.org/abs/1004.5042v3

J. Phys. A: Math. Theor. 43 (2010) 315001

Physics

Condensed Matter

Statistical Mechanics

18 pages, 9 figures

Scientific paper

10.1088/1751-8113/43/31/315001

We consider the one-dimensional target search process that involves an immobile target located at the origin and $N$ searchers performing independent Brownian motions starting at the initial positions $\vec x = (x_1,x_2,..., x_N)$ all on the positive half space. The process stops when the target is first found by one of the searchers. We compute the probability distribution of the maximum distance $m$ visited by the searchers till the stopping time and show that it has a power law tail: $P_N(m|\vec x)\sim B_N (x_1x_2... x_N)/m^{N+1}$ for large $m$. Thus all moments of $m$ up to the order $(N-1)$ are finite, while the higher moments diverge. The prefactor $B_N$ increases with $N$ faster than exponentially. Our solution gives the exit probability of a set of $N$ particles from a box $[0,L]$ through the left boundary. Incidentally, it also provides an exact solution of the Laplace's equation in an $N$-dimensional hypercube with some prescribed boundary conditions. The analytical results are in excellent agreement with Monte Carlo simulations.

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