论文标题

Ornstein-Uhlenbeck粒子的当地时间

Local time of an Ornstein-Uhlenbeck particle

论文作者

Kishore, G., Kundu, Anupam

论文摘要

在本文中,我们研究了在某个位置到时间t的Ornstein-Uhlenbeck粒子所花费的当地时间。使用Feynman-Kac形式主义,可以将当地时间生成矩的计算映射到找到量子粒子的特征值和特征函数的问题。我们采用量子扰动理论来计算当时生成函数的论点的特征值和特征功能,这些函数的论点特别有助于直接计算在不同位置所花费的当地时代之间的累积和相关性。特别地,我们获得了在存在的情况下,在没有生存条件下的吸收边界的情况下,获得了当地时间的平均值,方差和协方差的明确表达。在没有吸收边界的情况下,我们还研究了当地时间的巨大偏差,并明确计算了相关大偏差函数的精确渐近形式。在本文的第二部分中,我们将Ornstein-Uhlenbeck粒子局部时间的统计数据扩展到不基于生存条件的情况。在这种情况下,人们期望当地时间分布在较大的时间限制中达到固定分布。这种固定分布的计算在文献中被称为第一段函数的问题。在本文中,我们通过提供一般的公式来评估生成函数的一般表述,研究了这种固定状态的方法。从这个时刻产生函数开始,我们计算当地时间的累积物,以明确地显示出对自由粒子和ornstein-uhlenbeck粒子的固定值的方法。我们的分析结果得到了数值模拟的验证和支持。

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.

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