Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
From MaRDI portal
Publication:3301119
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)
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.
Recommendations
- Exact solutions for the statistics of extrema of some random 1D landscapes, application to the equilibrium and the dynamics of the toy model
- The renormalization group and fractional Brownian motion
- Longest interval between zeros of the tied-down random walk, the Brownian bridge and related renewal processes
- Time and place of the maximum for one-dimensional diffusion bridges and meanders
- On randomly spaced observations and continuous-time random walks
Cites work
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3141621 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3249395 (Why is no real title available?)
- A lower bound for time correlation of lattice gases
- Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces
- Dynamic Scaling of Growing Interfaces
- Ecological invasion, roughened fronts, and a competitor's extreme advance: integrating stochastic spatial-growth models
- Exact distribution of the maximal height of \(p\) vicious walkers
- Exact solutions for the statistics of extrema of some random 1D landscapes, application to the equilibrium and the dynamics of the toy model
- Exponential functionals of Brownian motion and related processes
- Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential
- Generalized extreme value statistics and sum of correlated variables
- K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
- 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
- Precise asymptotics for a random walker’s maximum
- Random walks on lattices. II
- Random-energy model: an exactly solvable model of disordered systems
- Spectral analysis of Sinai's walk for small eigenvalues
- Statistical mechanics of logarithmic REM: duality, freezing and extreme value statistics of 1/f noises generated by Gaussian free fields
- Stochastic processes in classical and quantum systems. Proceedings of the 1st Ascona-Como International Conference, Held in Ascona, Ticino (Switzerland), June 24--29, 1985
- Séminaire de probabilités XXIII
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- The representation of 𝑒^{-𝑥^{𝜆}} as a Laplace integral
- Universality classes for extreme-value statistics
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
- Extreme value statistics of correlated random variables: a pedagogical review
- Generalised ``arcsine laws for run-and-tumble particle in one dimension
- Universal order statistics for random walks \& Lévy flights
- Covariance of the running range of a Brownian trajectory
- An elementary renormalization-group approach to the generalized central limit theorem and extreme value distributions
- Time Discretization of a Tempered Fractional Feynman--Kac Equation with Measure Data
- Time and place of the maximum for one-dimensional diffusion bridges and meanders
- Extremal statistics for first-passage trajectories of drifted Brownian motion under stochastic resetting
- Path probabilities of continuous time random walks
- Maximal distance travelled by \(N\) vicious walkers till their survival
- Stochastic acceleration in generalized squared Bessel processes
- Strong disorder RG approach -- a short review of recent developments
- Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records
- Low-temperature dynamics of long-ranged spin-glasses: full hierarchy of relaxation times via real-space renormalization
- Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit
- The renormalization group and fractional Brownian motion
This page was built for publication: Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3301119)
