Statistics of first-passage Brownian functionals

DOI10.1088/1742-5468/AB6844MaRDI QIDQ5856241zbMATH OpenOpenAlexFDO

Authors Satya N. Majumdar, Baruch Meerson

Publication date 25 March 2021

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.06668

Mathematics Subject Classification ID

Brownian motion (60J65) Dynamic and nonequilibrium phase transitions (general) in statistical mechanics (82C26)

Abstract: We study the distribution of first-passage functionals $calA=in{t}_0^{t_f}{x}^n(t),dt$, where $x(t)$ is a Brownian motion (with or without drift) with diffusion constant $D$, starting at $x_0>0$, and $t_f$ is the first-passage time to the origin. In the driftless case, we compute exactly, for all $n>-2$, the probability density $P_n(A|x_0)=extProb.(mathcalA=A)$. This probability density has an essential singular tail as $Ao0$ and a power-law tail $sim{A}^{-(n+3)/(n+2)}$ as $Aoinfty$. The former is reproduced by the optimal fluctuation method (OFM), which also predicts the optimal paths of the conditioned process for small $A$. For the case with a drift toward the origin, where no exact solution is known for general $n>-1$, the OFM predicts the distribution tails. For $Ao0$ it predicts the same essential singular tail as in the driftless case. For $Aoinfty$ it predicts a stretched exponential tail $-ln{P}_n(A|x_0)sim{A}^{1/(n+1)}$ for all $n>0$. In the limit of large P'eclet number $extPe=mu{x}_0/(2D)gg1$, where $mu$ is the drift velocity, the OFM predicts a large-deviation scaling for all $A$: $$, where $$ is the mean value of $mathcalA$. We compute the rate function $Ph{i}_n(z)$ analytically for all $n>-1$. For $n>0$ $Ph{i}_n(z)$ is analytic for all $z$, but for $-1<n<0$ it is non-analytic at $z=1$, implying a dynamical phase transition. The order of this transition is $2$ for $-1/2<n<0$, while for $-1<n<-1/2$ the order of transition changes continuously with $n$. Finally, we apply the OFM to the case of $mu<0$ (drift away from the origin). We show that, when the process is conditioned on reaching the origin, the distribution of $mathcalA$ coincides with the distribution of $mathcalA$ for $mu>0$ with the same $|mu|$.

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Cited in

(23)

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