Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score

DOI10.1016/J.SPA.2014.07.003zbMath1323.60109arXiv1406.4972OpenAlexW2085270174MaRDI QIDQ744244

Agnès Lagnoux, Sabine Mercier, Claudie Chabriac, Pierre Vallois

Publication date: 6 October 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4972

zbMATH Keywords

weak convergencerandom walkBrownian excursionsreflected Brownian motionlocal scoreDonsker invariance theoreminverse of local timeLindley process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Related Items (2)

Duality between the local score of one sequence and constrained hidden Markov model ⋮ Probability density function of the local score position

Cites Work

• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• Approximation of the distribution of the supremum of a centered random walk. Application to the local score
• Strong limit theorems of empirical functionals for large exceedances of partial sums of i.i.d. variables
• On the distribution of ranked heights of excursions of a Brownian bridge.
• Asymptotic behavior of the local score of independent and identically distributed random sequences.
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions
• Methods for assessing the statistical significance of molecular sequence features by using general scoring schemes.
• Sur la loi conjointe du maximum et de l'inverse du temps local du mouvement brownien: application a un theoreme de knight
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