The area swept out under a one-dimensional Brownian motion till its first-passage time is analysed using a Fokker-Planck technique. We obtain an exact expression for the area distribution for the zero drift case, and provide various asymptotic results for the non-zero drift case, emphasising the critical nature of the behaviour in the limit of vanishing drift. The results offer important insights into the asymptotic behaviour of a number of discrete models. We also provide a succinct derivation for the distribution of the maximum displacement observed during a first-passage.
We derive , the joint probability density of the maximum ) , ( m t M P M and the time at which this maximum is achieved, for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and reflected bridges associated with Brownian motion. By subsequently integrating over m t M , the marginal density is obtained in each case in the form of a doubly infinite series. For the excursion and meander, we analyse the moments and asymptotic limits of in some detail and show that the theoretical results are in excellent accord with numerical simulations. Our primary method of derivation is based on a path integral technique; however, an alternative approach is also outlined which is founded on certain 'agreement formulae' that are encountered more generally in probabilistic studies of Brownian motion processes. ) ( m t P ) ( m t P 1
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The analysis leads to a simple closed-form solution for the moments of the Airy distribution.
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