Area fluctuations on a subinterval of Brownian excursion

Abstract

Area fluctuations of a Brownian excursion are described by the Airy distribution, which found applications in different areas of physics, mathematics and computer science. Here we generalize this distribution to describe the area fluctuations on a \emph{subinterval} of a Brownian excursion. In the first version of the problem (Model 1) no additional conditions are imposed. In the second version (Model 2) we study the distribution of the area fluctuations on a subinterval given the excursion area on the whole interval. Both versions admit convenient path-integral formulations. In Model 1 we obtain an explicit expression for the Laplace transform of the area distribution on the subinterval. In both models we focus on large deviations of the area by evaluating the tails of the area distributions, sometimes with account of pre-exponential factors. When conditioning on very large areas in Model 2, we uncover two singularities in the rate function of the subinterval area fraction. They can be interpreted as dynamical phase transitions of second and third order.

arXiv comment17 one-column pages, 11 figures

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• Geometrical optics of large deviations of Brownian motion in inhomogeneous media
• Short-time large deviation of constrained random acceleration process
• Framework for fluctuating times and counting observables in stochastic excursions
• Counting observables in stochastic excursions
• Short-time large deviations of first-passage functionals for high-order stochastic processes