Here’s what Oracle’s documentation has to say:
By default the heap dump is created in
a file called java_pid.hprof in the
working directory of the VM, as in the
example above. You can specify an
alternative file name or directory
with the-XX:HeapDumpPath=option. For
example-XX:HeapDumpPath=/disk2/dumps
will cause the heap dump to be
generated in the/disk2/dumps
directory.