The quantile transform of simple walks and Brownian motion

DOI10.1214/EJP.V20-3479MaRDI QIDQ894148zbMATH OpenOpenAlexFDO

Authors Sami Assaf, Noah Mills Forman, Jim Pitman

Publication date 27 November 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.4967

zbMATH Keywords

Brownian motionfluctuation theorysimple random walksexcursion theorypath transformation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Combinatorial probability (60C05) Local time and additive functionals (60J55)

Abstract: We examine a new path transform on 1-dimensional simple random walks and Brownian motion, the quantile transform. This transformation relates to identities in fluctuation theory due to Wendel, Port, Dassios and others, and to discrete and Brownian versions of Tanaka's formula. For an n-step random walk, the quantile transform reorders increments according to the value of the walk at the start of each increment. We describe the distribution of the quantile transform of a simple random walk of n steps, using a bijection to characterize the number of pre-images of each possible transformed path. We deduce, both for simple random walks and for Brownian motion, that the quantile transform has the same distribution as Vervaat's transform. For Brownian motion, the quantile transforms of the embedded simple random walks converge to a time change of the local time profile. We characterize the distribution of the local time profile, giving rise to an identity that generalizes a variant of Jeulin's description of the local time profile of a Brownian bridge or excursion.

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Cited in

(5)

• Brownian bricklayer: a random space-filling curve
• On the convergence of random tridiagonal matrices to stochastic semigroups
• The Vervaat transform of Brownian bridges and Brownian motion
• Fluctuations of the empirical quantiles of independent Brownian motions
• Stochastic Airy semigroup through tridiagonal matrices

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