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First-passage area distribution and optimal fluctuations of fractional Brownian motion
Alexander K Hartmann1, Baruch Meerson2
1Institut für Physik, Universitåt Oldenburg - 26111 Oldenburg, Germany.
Abstract:
We study the probability distribution P(A) of the area A=∫_{0}^{T}x(t)dt swept under fractional Brownian motion (fBm) 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)=D^{1/2H}/L^{1+1/H}Φ_{H}(D^{1/2H}A/L^{1+1/H}), where 0
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