Extreme lengths in Brownian and Bessel excursions

DOI10.2307/3318455MaRDI QIDQ1380397zbMATH OpenOpenAlexFDO

Authors Zhan Shi, Yueyun Hu

Publication date 2 March 1999

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1175882214

zbMATH Keywords

Bessel processBrownian excursion length

Mathematics Subject Classification ID

Strong limit theorems (60F15) Brownian motion (60J65)

Review text

For a Bessel process of dimension \(d\in(0,2)\) the upper and lower function integral criteria are presented for the sum of the \(k\) longest excursion lengths and for any \(k\)th excursion \((k\geq 2)\) as well.

Recommendations

• Shortest excursion lengths
• Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\)
• High excursions of Bessel and related random processes
• scientific article; zbMATH DE number 3947360
• scientific article; zbMATH DE number 4009480

Cited in

(6)

• The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
• Almost sure convergence for stochastically biased random walks on trees
• On the first positive and negative excursion exceeding a given length
• Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\)
• The distribution of the area under a Bessel excursion and its moments
• Brownian penalisations related to excursion lengths. VII

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