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

DOI10.1007/S10955-014-1032-9MaRDI QIDQ743417zbMATH OpenOpenAlexFDO

Authors David A. Kessler, Shlomi Medalion, Eli Barkai

Publication date 24 September 2014

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

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

zbMATH Keywords

Airy distributionBessel excursionBrownian excursion

Mathematics Subject Classification ID

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

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 $[(4-d)T{]}^{3/2}$.

Recommendations

• Area fluctuations on a subinterval of Brownian excursion
• The area under a spectrally positive stable excursion and other related processes
• Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\)
• On the distribution of Brownian areas
• Area distribution of an elastic Brownian motion

Cites work

• A bernoulli excursion and its various applications
• Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces
• Analytic variations on the Airy distribution
• Brownian excursion area, wright's constants in graph enumeration, and other Brownian areas
• Extreme lengths in Brownian and Bessel excursions
• scientific article; zbMATH DE number 3181532 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• scientific article; zbMATH DE number 1409619 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Kac's formula, levy's local time and brownian excursion
• On Distributions of Certain Wiener Functionals
• On the quantum zeta function
• On the supremum of a certain Gaussian process

Cited in

(4)

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

This page was built for publication: The distribution of the area under a Bessel excursion and its moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q743417)