Asymptotic properties of ranked heights in Brownian excursions (Q5937297): Difference between revisions
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Latest revision as of 09:05, 30 July 2024
scientific article; zbMATH DE number 1618865
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English | Asymptotic properties of ranked heights in Brownian excursions |
scientific article; zbMATH DE number 1618865 |
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Asymptotic properties of ranked heights in Brownian excursions (English)
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12 July 2001
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Let \(M_1(t)\geq M_2(t)\geq\cdots\) be the ranked heights of the excursions of reflected standard Brownian motion up to time \(t\) (including the meander height). This paper gives asymptotic properties of \(M_n(t)\) for \(n\geq 2\) or \(M_{n(t)}(t)\) as \(t\to\infty\) (exact distributional properties have been studied by Pitman and Yor and the asymptotic of \(M_1(t)\) reduces to standard properties of Brownian motion). For example, integral tests are given for \(M_n(t)> g(t)\) or \(M_n(t)< h(t)\) to occur infinitely often. A basic step in the proofs is an explicit representation of some functionals associated with ranked Bessel process excursions under a certain time change.
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reflected standard Brownian motion
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asymptotic properties
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ranked Bessel process excursions
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