Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records (Q647824): Difference between revisions

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English	Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records	scientific article

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scholarly article

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title

Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records (English)

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19 November 2011

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full work available at URL

https://arxiv.org/abs/0912.2586

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MaRDI profile type

MaRDI publication profile

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cites work

Stochastic Problems in Physics and Astronomy

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Q5538132

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Q4884574

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Fractal random walks

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On a random area variable arising in discrete-time queues and compact directed percolation

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Precise asymptotics for a random walker’s maximum

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Q5829356

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Q4223075

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On Probabilities of Large Deviations for Random Walks. II. Regular Exponentially Decaying Distributions

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Q5832682

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A Guide to First-Passage Processes

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The Wiener-Hopf equation whose kernel is a probability density

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Functionals of Brownian motion, localization and metric graphs

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Q5821083

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Unified solution of the expected maximum of a discrete time random walk and the discrete flux to a spherical trap

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Q4850575

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Q3259350

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Extreme value statistics and traveling fronts: Various applications

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Packings in two dimensions: Asymptotic average-case analysis of algorithms

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The Maximum of a Random Walk and Its Application to Rectangle Packing

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Flux to a trap

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Q5775184

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Distribution of the time at which the deviation of a Brownian motion is maximum before its first-passage time

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On the time to reach maximum for a variety of constrained Brownian motions

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Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou

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Area distribution of an elastic Brownian motion

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Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks

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Universal Record Statistics of Random Walks and Lévy Flights

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Characterizations in a random record model with a nonidentically distributed initial record

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Breaking Records and Breaking Boards

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Q5813591

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Records

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Q4214079

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Records in a changing world

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The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator

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Identifiers

zbMATH Open document ID

1225.60077

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DOI

10.1016/j.physa.2010.01.021

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:647824

@@ Property / cites work @@
+Stochastic Problems in Physics and Astronomy
@@ Property / cites work: Stochastic Problems in Physics and Astronomy / rank @@
+Normal rank
@@ Property / cites work @@
+Q5538132
@@ Property / cites work: Q5538132 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4884574
@@ Property / cites work: Q4884574 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractal random walks
@@ Property / cites work: Fractal random walks / rank @@
+Normal rank
@@ Property / cites work @@
+On a random area variable arising in discrete-time queues and compact directed percolation
+Normal rank
@@ Property / cites work @@
+Precise asymptotics for a random walker’s maximum
+Normal rank
@@ Property / cites work @@
+Q5829356
@@ Property / cites work: Q5829356 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4223075
@@ Property / cites work: Q4223075 / rank @@
+Normal rank
@@ Property / cites work @@
+On Probabilities of Large Deviations for Random Walks. II. Regular Exponentially Decaying Distributions
+Normal rank
@@ Property / cites work @@
+Q5832682
@@ Property / cites work: Q5832682 / rank @@
+Normal rank
@@ Property / cites work @@
+A Guide to First-Passage Processes
@@ Property / cites work: A Guide to First-Passage Processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Wiener-Hopf equation whose kernel is a probability density
+Normal rank
@@ Property / cites work @@
+Functionals of Brownian motion, localization and metric graphs
+Normal rank
@@ Property / cites work @@
+Q5821083
@@ Property / cites work: Q5821083 / rank @@
+Normal rank
@@ Property / cites work @@
+Unified solution of the expected maximum of a discrete time random walk and the discrete flux to a spherical trap
+Normal rank
@@ Property / cites work @@
+Q4850575
@@ Property / cites work: Q4850575 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3259350
@@ Property / cites work: Q3259350 / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme value statistics and traveling fronts: Various applications
+Normal rank
@@ Property / cites work @@
+Packings in two dimensions: Asymptotic average-case analysis of algorithms
+Normal rank
@@ Property / cites work @@
+The Maximum of a Random Walk and Its Application to Rectangle Packing
+Normal rank
@@ Property / cites work @@
+Flux to a trap
@@ Property / cites work: Flux to a trap / rank @@
+Normal rank
@@ Property / cites work @@
+Q5775184
@@ Property / cites work: Q5775184 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of the time at which the deviation of a Brownian motion is maximum before its first-passage time
+Normal rank
@@ Property / cites work @@
+On the time to reach maximum for a variety of constrained Brownian motions
+Normal rank
@@ Property / cites work @@
+Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou
+Normal rank
@@ Property / cites work @@
+Area distribution of an elastic Brownian motion
@@ Property / cites work: Area distribution of an elastic Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
+Normal rank
@@ Property / cites work @@
+Universal Record Statistics of Random Walks and Lévy Flights
+Normal rank
@@ Property / cites work @@
+Characterizations in a random record model with a nonidentically distributed initial record
+Normal rank
@@ Property / cites work @@
+Breaking Records and Breaking Boards
@@ Property / cites work: Breaking Records and Breaking Boards / rank @@
+Normal rank
@@ Property / cites work @@
+Q5813591
@@ Property / cites work: Q5813591 / rank @@
+Normal rank
@@ Property / cites work @@
+Records
@@ Property / cites work: Records / rank @@
+Normal rank
@@ Property / cites work @@
+Q4214079
@@ Property / cites work: Q4214079 / rank @@
+Normal rank
@@ Property / cites work @@
+Records in a changing world
@@ Property / cites work: Records in a changing world / rank @@
+Normal rank
@@ Property / cites work @@
+The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
+Normal rank