Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks

DOI10.1088/1742-5468/2010/01/P01009zbMATH Open1456.82405arXiv0910.4913MaRDI QIDQ3301119FDOQ3301119

Authors: Pierre Le Doussal, Grégory Schehr 

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: We use the Real Space Renormalization Group (RSRG) method to study extreme value statistics for a variety of Brownian motions, free or constrained such as the Brownian bridge, excursion, meander and reflected bridge, recovering some standard results, and extending others. We apply the same method to compute the distribution of extrema of Bessel processes. We briefly show how the continuous time random walk (CTRW) corresponds to a non standard fixed point of the RSRG transformation.

Full work available at URL: https://arxiv.org/abs/0910.4913

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Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Renormalization group methods in equilibrium statistical mechanics (82B28) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Cited In (21)

• On the gap and time interval between the first two maxima of long continuous time random walks
• Area and perimeter covered by anomalous diffusion processes
• Extremal statistics for a one-dimensional Brownian motion with a reflective boundary
• The distribution function for the maximal height of \(N\) non-intersecting Bessel paths
• Extreme value statistics and Arcsine laws of Brownian motion in the presence of a permeable barrier
• Generalised ``arcsine laws for run-and-tumble particle in one dimension
• Extreme value statistics of correlated random variables: a pedagogical review
• Covariance of the running range of a Brownian trajectory
• Universal order statistics for random walks \& Lévy flights
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• Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
• Extremal statistics for first-passage trajectories of drifted Brownian motion under stochastic resetting
• Time and place of the maximum for one-dimensional diffusion bridges and meanders
• Path probabilities of continuous time random walks
• Maximal distance travelled by \(N\) vicious walkers till their survival
• Stochastic acceleration in generalized squared Bessel processes
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