The alternating marked point process of h-slopes of drifted Brownian motion

DOI10.1016/J.SPA.2008.09.002MaRDI QIDQ1019609zbMATH OpenOpenAlexFDO

Authors Alessandra Faggionato

Publication date 4 June 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.0128

zbMATH Keywords

Brownian motionfluctuation theorymarked point processesPalm-Khinchin theory

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65)

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.

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Cited in

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