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

DOI10.1016/J.SPA.2014.07.003zbMATH Open1323.60109arXiv1406.4972OpenAlexW2085270174MaRDI QIDQ744244FDOQ744244

Authors: Claudie Chabriac, Agnès Lagnoux, Sabine Mercier, Pierre Vallois 

Publication date: 6 October 2014

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

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

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

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zbMATH Keywords

random walkweak convergencereflected Brownian motionBrownian excursionslocal 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) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

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• Strong limit theorems of empirical functionals for large exceedances of partial sums of i.i.d. variables
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Cited In (4)

• Duality between the local score of one sequence and constrained hidden Markov model
• Probability that the maximum of the reflected Brownian motion over a finite interval \([0,t]\) is achieved by its last zero before \(t\).
• Probability density function of the local score position
• On the maximum drawdown of a Brownian motion

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