Mortal Brownian motion: Three short stories

Mortality introduces an intrinsic time scale into the scale-invariant Brownian motion. This fact has important consequences for different statistics of Brownian motion. Here we are telling three short stories, where spontaneous death, such as radioactive decay, puts a natural limit to "lifetime achievements" of a Brownian particle. In story 1 we determine the probability distribution of a mortal Brownian particle (MBP) reaching a specified point in space at the time of its death. In story 2 we determine the probability distribution of the area A = â«0T x(t)dt of an MBP on the line. Story 3 addresses the distribution of the winding angle of an MBP wandering around a reflecting disk in the plane. In stories 1 and 2 the probability distributions exhibit integrable singularities at zero values of the position and the area, respectively. In story 3 a singularity at zero winding angle appears only in the limit of very high mortality. A different integrable singularity appears at a nonzero winding angle. It is inherited from the recently uncovered singularity of the short-time large-deviation function of the winding angle for immortal Brownian motion.