A point process associated with local maxima of Brownian motion

DOI10.1007/S00440-009-0236-4zbMATH Open1207.60054arXiv1004.5530OpenAlexW3103561956MaRDI QIDQ707601FDOQ707601

Authors: Christophe Leuridan 

Publication date: 8 October 2010

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

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}.${\displaystyle }$

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

Recommendations

• scientific article; zbMATH DE number 1340839
• scientific article; zbMATH DE number 4007398
• Sur la loi conjointe du maximum et de l'inverse du temps local du mouvement brownien: application a un theoreme de knight
• Brownian motion normalized by maximum local time
• scientific article; zbMATH DE number 4094529

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)

Cites Work

• An Introduction to the Theory of Point Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Zeros of the i.i.d. Gaussian power series: a conformally invariant determinantal process
• Title not available (Why is that?)
• Self-similar fragmentations
• Title not available (Why is that?)
• On the joint distribution of the maximum and its location for a linear diffusion
• Title not available (Why is that?)
• Séminaire de probabilités. V. Université de Strasbourg
• Title not available (Why is that?)
• Brownian local minima, random dense countable sets and random equivalence classes

Cited In (2)

• Some theorems concerning extrema of Brownian motion with \(d\)-dimensional time
• The argmin process of random walks, Brownian motion and Lévy processes

This page was built for publication: A point process associated with local maxima of Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q707601)