The alternating marked point process of h-slopes of drifted Brownian motion
From MaRDI portal
(Redirected from Publication:1019609)
The alternating marked point process of \(h\)-slopes of drifted Brownian motion
The alternating marked point process of \(h\)-slopes of drifted Brownian motion
Abstract: We show that the slopes between h-extrema of the drifted 1D Brownian motion form a stationary alternating marked point process, extending the result of J. Neveu and J. Pitman for the non drifted case. Our analysis covers the results on the statistics of h-extrema obtained by P. Le Doussal, C. Monthus and D. Fisher via a Renormalization Group analysis and gives a complete description of the slope between h-extrema covering the origin by means of the Palm--Khinchin theory. Moreover, we analyze the behavior of the Brownian motion near its h-extrema.
Recommendations
Cites work
- An introduction to the theory of point processes
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- scientific article; zbMATH DE number 18219 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 3796940 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 3297674 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3060406 (Why is no real title available?)
- Moments of sums of independent random variables
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- One-dimensional diffusion in an asymmetric random environment
Cited in
(3)
This page was built for publication: The alternating marked point process of \(h\)-slopes of drifted Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1019609)