The distribution of the area under a Bessel excursion and its moments

DOI10.1007/S10955-014-1032-9zbMATH Open1302.82051arXiv1402.7013OpenAlexW3102606197MaRDI QIDQ743417FDOQ743417

Shlomi Medalion, Eli Barkai, David A. Kessler

Publication date: 24 September 2014

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: A Bessel excursion is a Bessel process that begins at the origin and first returns there at some given time $T$. We study the distribution of the area under such an excursion, which recently found application in the context of laser cooling. The area $A$ scales with the time as $Asim{T}^{3/2}$, independent of the dimension, $d$, but the functional form of the distribution does depend on $d$. We demonstrate that for $d=1$, the distribution reduces as expected to the distribution for the area under a Brownian excursion, known as the Airy distribution, deriving a new expression for the Airy distribution in the process. We show that the distribution is symmetric in $d-2$, with nonanalytic behavior at $d=2$. We calculate the first and second moments of the distribution, as well as a particular fractional moment. We also analyze the analytic continuation from $d<2$ to $d>2$. In the limit where $do4$ from below, this analytically continued distribution is described by a one-sided L'evy $alpha$-stable distribution with index $2/3$ and a scale factor proportional to $[(4-d)T{]}^{3/2}$.

Full work available at URL: https://arxiv.org/abs/1402.7013

zbMATH Keywords

Brownian excursionAiry distributionBessel excursion

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (4)

• A generalised Airy distribution function for the accumulated area swept by \(N\) vicious Brownian paths
• The area under a spectrally positive stable excursion and other related processes
• On certain functionals of the maximum of Brownian motion and their applications
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process

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