Shortest excursion lengths
Let \(V_1(t)\geq V_2(t)\geq\dots\) be the ranked lengths of the excursions away from 0 accomplished up to time \(t\) by some standard Brownian motion. Recently P. Révész has obtained an a.s. upper-bound for the quantity \(\limsup_{t\to\infty} {k(t)\over t}\sum_{j>k(t) \log\log t}V_j(t)\) where \(k:[0, \infty)\to [0,\infty)\) is an increasing function with \(\lim_{t\to\infty} k(t)= \infty\) and such that \(t\to t/k(t)\) increases. Here the authors improve this result by showing that the preceding quantity equals \(4/\pi\) a.s. They also characterize the ``lim inf behavior of \(\sum_{j>l(t)} V_j(t)\) for a general increasing function \(l\); and prove more generally results in the same vein when the Brownian motion is replaced by a Bessel process. A key ingredient in their approach is an identity due to Pitman and Yor for the distribution of \(\sum^\infty_{j=n} V_j(t)\).
- Short distances on the line
- The rank of the present excursion
- Extreme lengths in Brownian and Bessel excursions
- Applications of the continuous-time ballot theorem to Brownian motion and related processes.
- Asymptotics for the distribution of lengths of excursions of a \(d\)-dimensional Bessel process \((0 < d < 2)\)
- The Longest Shortest Piercing
- scientific article; zbMATH DE number 4009480 (Why is no real title available?)
- Minima of Independent Bessel Processes and of Distances Between Brownian Particles
- scientific article; zbMATH DE number 1527798 (Why is no real title available?)
- scientific article; zbMATH DE number 1446778 (Why is no real title available?)
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