First-passage functionals for Ornstein–Uhlenbeck process with stochastic resetting

DOI10.1088/1751-8121/ACF748MaRDI QIDQ6053776zbMATH OpenOpenAlexFDO

Authors A. K. Dubey, Arnab Pal

Publication date 23 October 2023

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2304.05226

zbMATH Keywords

Brownian functionalsfirst passage processstochastic resetting

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistical mechanics, structure of matter (82-XX)

Abstract: We study the statistical properties of first-passage Brownian functionals (FPBFs) of an Ornstein-Uhlenbeck (OU) process in the presence of stochastic resetting. We consider a one dimensional set-up where the diffusing particle sets off from $x_0$ and resets to $x_R$ at a certain rate $r$. The particle diffuses in a harmonic potential (with strength $k$) which is centered around the origin. The center also serves as an absorbing boundary for the particle and we denote the first passage time of the particle to the center as $t_f$. In this set-up, we investigate the following functionals: (i) local time $T_{loc}=in{t}_0^{t_f}daudelta(x-x_R)$ i.e., the time a particle spends around $x_R$ until the first passage, (ii) occupation or residence time $T_{res}=in{t}_0^{t_f}dauheta(x-x_R)$ i.e., the time a particle typically spends above $x_R$ until the first passage and (iii) the first passage time $t_f$ to the origin. We employ the Feynman-Kac formalism for renewal process to derive the analytical expression for the first moment of all the three FPBFs mentioned above. In particular, we find that resetting can either prolong or shorten the mean residence and first passage time depending on the system parameters. The transition between these two behaviors or phases can be characterized precisely in terms of optimal resetting rates, which interestingly undergo a continuous transition as we vary the trap stiffness $k$. We characterize this transition and identify the critical -parameter & -coefficient for both the cases. We also showcase other interesting interplay between the resetting rate and potential strength on the statistics of these observables. Our analytical results are in excellent agreement with the numerical simulations.

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Cited in

(8)

• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• The first-passage area of Wiener process with stochastic resetting
• Unbiased density computation for stochastic resetting
• Extremal statistics for first-passage trajectories of drifted Brownian motion under stochastic resetting
• Study of direct and inverse first-exit problems for drifted Brownian motion with Poissonian resetting
• First-passage and extreme value statistics for overdamped Brownian motion in a linear potential
• Short-time large deviations of first-passage functionals for high-order stochastic processes
• Multimodality in systems driven by Ornstein-Uhlenbeck noise

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