A point process associated with local maxima of Brownian motion

DOI10.1007/S00440-009-0236-4MaRDI QIDQ707601zbMATHOpenAlexFDO

Authors Christophe Leuridan

Publication date 8 October 2010

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.5530

zbMATH Keywords

point processstable distributionBrownian motionlocal maxima

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Abstract: Let $$ be a symmetric Brownian motion, i.e. $$ and $$ are independent Brownian motions starting at $0$. Given $ageb>0$, we describe the law of the random set ${\displaystyle }${cal M}_{a,b} = {t in {�f R} : B_t = max_{s in [t-a,t+b]} B_s},${\displaystyle }$ and we describe the L'evy measure of a subordinator whose closed range is the regenerative set ${\displaystyle }${cal R}_a = {t in {�f R}_+ : B_t = max_{s in [(t-a)_+,t]} B_s}.${\displaystyle }$

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Cited in

(3)

• The argmin process of random walks, Brownian motion and Lévy processes
• Stationary local random countable sets over the Wiener noise
• Some theorems concerning extrema of Brownian motion with \(d\)-dimensional time

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