Shortest excursion lengths (Q1282375)

Let \(V_1(t)\geq V_2(t)\geq\dots\) be the ranked lengths of the excursions away from 0 accomplished up to time \(t\) by some standard Brownian motion. Recently P. Révész has obtained an a.s. upper-bound for the quantity \(\limsup_{t\to\infty} {k(t)\over t}\sum_{j>k(t) \log\log t}V_j(t)\) where \(k:[0, \infty)\to [0,\infty)\) is an increasing function with \(\lim_{t\to\infty} k(t)= \infty\) and such that \(t\to t/k(t)\) increases. Here the authors improve this result by showing that the preceding quantity equals \(4/\pi\) a.s. They also characterize the ``lim inf'' behavior of \(\sum_{j>l(t)} V_j(t)\) for a general increasing function \(l\); and prove more generally results in the same vein when the Brownian motion is replaced by a Bessel process. A key ingredient in their approach is an identity due to Pitman and Yor for the distribution of \(\sum^\infty_{j=n} V_j(t)\).