A Random Walk and a Wiener Process Near a Maximum

DOI10.1137/1128082zbMATH Open0544.60070OpenAlexW2061491677MaRDI QIDQ3333829FDOQ3333829

Authors: I. V. Denisov 

Publication date: 1984

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1128082

zbMATH Keywords

weak convergenceBrownian bands

Mathematics Subject Classification ID

Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17)

Cited In (15)

• On the sojourn time of a generalized Brownian meander
• Extreme order statistics of random walks
• Large favourite sites of simple random walk and the Wiener process
• Branching Brownian motion seen from its tip
• Bismut-Elworthy's formula and random walk representation for SDEs with reflection
• Some results on the Brownian meander with drift
• On the maximum of a Wiener process and its location
• Mean curvature and the heat equation
• Time and place of the maximum for one-dimensional diffusion bridges and meanders
• The argmin process of random walks, Brownian motion and Lévy processes
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
• Conservative stochastic Cahn-Hilliard equation with reflection
• A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
• How many probes are needed to compute the maximum of a random walk?
• Three-halves variation of geodesics in the directed landscape

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