First-passage area distribution and optimal fluctuations of fractional Brownian motion

Abstract

We study the probability distribution $P(A)$ of the area $A={\int }_0^{T}x(t)dt$ swept under fractional Brownian motion (fB\ m) $x(t)$ until its first passage time $T$ to the origin. The process starts at $t=0$ from a specified point $x=L$. We show that $P(A)$ obeys exact scaling relation $$P(A)=\frac{D^{\frac{1}{2H}}}{L^{1+\frac{1}{H}}}{\Phi }_H\left(\frac{D^{\frac{1}{2H}}A}{L^{1+\frac{1}{H}}}\right),$$ where $0<H<1$ is the Hurst exponent characterizing the fBm, $D$ is the coefficient of fractional diffusion, and ${\Phi }_H(z)$ is a scaling function. The small-$A$ tail of $P(A)$ has been recently predicted by Meerson and Oshanin [Phys. Rev. E 105, 064137 (2022)], who showed that it has an essential singularity at $A=0$, the character of which depends on $H$. Here we determine the large-$A$ tail of $P(A)$. It is a fat tail, in particular such that the average value of the first-passage area $A$ diverges for all $H$. We also verify the predictions for both tails by performing simple-sampling as well as large-deviation Monte Carlo simulations. The verification includes measurements of $P(A)$ up to probability densities as small as $10^{-190}$. We also perform direct observations of paths conditioned to the area $A$. For the steep small-$A$ tail of $P(A)$ the "optimal paths", i.e. the most probable trajectories of the fBm, dominate the statistics. Finally, we discuss extensions of theory to a more general first-passage functional of the fBm.

arXiv comment9 pages, 8 figures

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