First-passage and extreme value statistics for overdamped Brownian motion in a linear potential

Abstract

We investigate the first-passage properties and extreme-value statistics of an overdamped Brownian particle confined by an external linear potential $V(x)=\mu |x-x_0|$, where $\mu >0$ is the strength of the potential and $x_0>0$ is the position of the lowest point of the potential, which coincides with the starting position of the particle. The Brownian motion terminates whenever the particle passes through the origin at a random time $t_f$. Our study reveals that the mean first-passage time $⟨t_f⟩$ exhibits a nonmonotonic behavior with respect to $\mu$, with a unique minimum occurring at an optimal value of $\mu \simeq 1.24468D/x_0$, where $D$ is the diffusion constant of the Brownian particle. Moreover, we examine the distribution $P(M|x_0)$ of the maximum displacement $M$ during the first-passage process, as well as the statistics of the time $t_m$ at which $M$ is reached. Intriguingly, there exists another optimal $\mu \simeq 1.24011D/x_0$ that minimizes the mean time $⟨t_m⟩$. All our analytical findings are corroborated through numerical simulations.

8 pages, 4 figures

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