Time to reach the maximum for a stationary stochastic process

Francesco Mori, Satya N. Majumdar, and Grégory Schehr
Phys. Rev. E 106, 054110 – Published 3 November 2022

Abstract

We consider a one-dimensional stationary time series of fixed duration T. We investigate the time tm at which the process reaches the global maximum within the time interval [0,T]. By using a path-decomposition technique, we compute the probability density function P(tm|T) of tm for several processes, that are either at equilibrium (such as the Ornstein-Uhlenbeck process) or out of equilibrium (such as Brownian motion with stochastic resetting). We show that for equilibrium processes the distribution of P(tm|T) is always symmetric around the midpoint tm=T/2, as a consequence of the time-reversal symmetry. This property can be used to detect nonequilibrium fluctuations in stationary time series. Moreover, for a diffusive particle in a confining potential, we show that the scaled distribution P(tm|T) becomes universal, i.e., independent of the details of the potential, at late times. This distribution P(tm|T) becomes uniform in the “bulk” 1tmT and has a nontrivial universal shape in the “edge regimes” tm0 and tmT. Some of these results have been announced in a recent letter [Europhys. Lett. 135, 30003 (2021)].

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  • Received 27 July 2022
  • Accepted 11 October 2022

DOI:https://doi.org/10.1103/PhysRevE.106.054110

©2022 American Physical Society

Physics Subject Headings (PhySH)

Statistical Physics & Thermodynamics

Authors & Affiliations

Francesco Mori1, Satya N. Majumdar1, and Grégory Schehr2

  • 1LPTMS, CNRS, Université Paris-Sud, Université Paris-Saclay, 91405 Orsay, France
  • 2Sorbonne Université, Laboratoire de Physique Théorique et Hautes Energies, CNRS, UMR 7589 4 Place Jussieu, 75252 Paris Cedex 05, France

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Vol. 106, Iss. 5 — November 2022

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