Universal order statistics for random walks \& Lévy flights
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Publication:2107263
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- A Path Transformation and its Applications to Fluctuation Theory
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- An elementary probability approach to fluctuation theory
- Canonical analysis of condensation in factorised steady states
- Condensation transition in large deviations of self-similar Gaussian processes with stochastic resetting
- Exact solutions for the statistics of extrema of some random 1D landscapes, application to the equilibrium and the dynamics of the toy model
- Expected maximum of bridge random walks & Lévy flights
- Extreme order statistics of random walks
- Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
- Extreme value statistics of correlated random variables: a pedagogical review
- First-order condensation transition in the position distribution of a run-and-tumble particle in one dimension
- Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential
- Gap statistics close to the quantile of a random walk
- Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
- Large deviations of the maximum of independent and identically distributed random variables
- Level-spacing distributions and the Airy kernel
- Mittag-Leffler functions and their applications
- Nonequilibrium statistical mechanics of the zero-range process and related models
- On Interval Recurrent Sums of Independent Random Variables
- On certain limit theorems of the theory of probability
- On the gap and time interval between the first two maxima of long random walks
- On the time to reach maximum for a variety of constrained Brownian motions
- Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou
- Order Statistics
- Order Statistics of Partial Sums
- Order statistics of partial sums of mutually independent random variables
- Precise asymptotics for a random walker’s maximum
- Sample quantiles of stochastic processes with stationary and independent ents
- Statistical mechanics of logarithmic REM: duality, freezing and extreme value statistics of 1/f noises generated by Gaussian free fields
- Statistics of the maximum and the convex hull of a Brownian motion in confined geometries
- Survival probability of random walks and Lévy flights on a semi-infinite line
- The Maximum of Sums of Stable Random Variables
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
- Top eigenvalue of a random matrix: large deviations and third order phase transition
- Universal gap statistics for random walks for a class of jump densities
- Universality classes for extreme-value statistics
Cited in
(10)- First gap statistics of long random walks with bounded jumps
- Maxima of two random walks: universal statistics of lead changes
- Universal order statistics for random walks & L\'evy flights
- Universal gap statistics for random walks for a class of jump densities
- On the extreme flights of one-sided Lévy processes
- Asymptotics for the expected maximum of random walks and Lévy flights with a constant drift
- On the gap and time interval between the first two maxima of long random walks
- Extreme order statistics of random walks
- Universal fluctuations in the support of the random walk
- Ordering of random walks: the leader and the laggard
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