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.