A note on the range of stochastic processes
The paper investigates the asymptotic behavior of the range of a Brownian motion with drift. Specifically, it revisits a known result stating that the range of a Brownian motion with positive drift \(V_t^{\eta} = B_t + \eta t\) satisfies the asymptotic relation: \N\[\N\frac{R_t(V^{\eta})}{t} \to \eta \quad \text{almost surely as } t \to \infty. \N\]\NThe authors demonstrate that this result follows from a purely deterministic property, removing the necessity for stochastic arguments. Moreover, they generalize this idea to functions beyond Brownian motion, proving that the asymptotics of the range of a function can be deduced directly from the function's growth behavior.\N\NThis paper provides a simplified and generalized proof of an important result in stochastic process theory. By demonstrating that range asymptotics arise deterministically from function growth, it contributes to a deeper understanding of range properties. The findings have potential applications in stochastic analysis, particularly in the study of random walks and extreme value theory.
- Decomposing the Brownian path via the range process
- scientific article; zbMATH DE number 1590945 (Why is no real title available?)
- On the range of a regenerative sequence
- On the range of Brownian motion and its inverse process
- Range of Brownian motion with drift
- Range reliability in random walks
- Remarks on the speeds of a class of random walks on the integers
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
- The range of a simple random walk on ℤ
- The ruin problem and cover times of asymmetric random walks and Brownian motions
This page was built for publication: A note on the range of stochastic processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7034124)
