Local time of an Ornstein-Uhlenbeck particle

Abstract

In this paper, we study the local time spent by an Ornstein-Uhlenbeck particle at some location till time t. Using the Feynman-Kac formalism, the computation of the moment generating function of the local time can be mapped to the problem of finding the eigenvalues and eigenfunctions of a quantum particle. We employ quantum perturbation theory to compute the eigenvalues and eigenfunctions in powers of the argument of the moment generating function which particularly help to directly compute the cumulants and correlations among local times spent at different locations. In particular, we obtain explicit expressions of the mean, variance, and covariance of the local times in the presence and in the absence of an absorbing boundary, conditioned on survival. In the absence of absorbing boundaries, we also study large deviations of the local time and compute exact asymptotic forms of the associated large deviation functions explicitly. In the second part of the paper, we extend our study of the statistics of local time of the Ornstein-Uhlenbeck particle to the case not conditioned on survival. In this case, one expects the distribution of the local time to reach a stationary distribution in the large time limit. Computations of such stationary distributions are known in the literature as the problem of first passage functionals. In this paper, we study the approach to this stationary state with time by providing a general formulation for evaluating the moment generating function. From this moment generating function, we compute the cumulants of the local time exhibiting the approach to the stationary values explicitly for a free particle and a Ornstein-Uhlenbeck particle. Our analytical results are verified and supported by numerical simulations.

arXiv comment43 pages, 7 figures. Rewrote discussion of large-deviation functions for reflecting wall. Corrected various typos / added references. This is the version accepted for publication in J. Stat. Mech

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Cited by in corpus (5)

• Local time for run and tumble particle
• First-passage functionals for Ornstein Uhlenbeck process with stochastic resetting
• Local time of a system of Brownian particles on the line with steplike initial condition
• Large deviations in statistics of the local time and occupation time for a run and tumble particle
• Dimensionality-induced dynamical phase transition in the large deviation of local time density for Brownian motion