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On excursions inside an excursion
Stochastic Processes and their Applications ( IF 1.4 ) Pub Date : 2021-04-28 , DOI: 10.1016/j.spa.2021.04.010
May-Ru Chen , Ju-Yi Yen

The distribution of ranked heights of excursions of a Brownian bridge is given by Pitman and Yor (2001). In this work, we consider excursions of a Brownian excursion above a random level x, where x is the value of the excursion at an independent uniform time on [0,1]. We study the maximum heights of these excursions as Pitman and Yor did for excursions of a Brownian bridge. In particular, the probability functions and the moments of the sum of the jth highest maximum over an excursion above x and the absolute value of the kth lowest minimum over an excursion below x, including j=1 and k=2, are computed in this paper.



中文翻译:

短途旅行中的短途旅行

皮特曼和尤尔(Pitman and Yor,2001)给出了布朗桥短途旅行的排名高度的分布。在这项工作中,我们考虑了随机水平以上的布朗漂移X, 在哪里 X是在[0,1]的独立统一时间上的偏移值。正如皮特曼(Pitman)和约尔(Yor)所做的布朗桥旅行一样,我们研究了这些旅行的最大高度。特别是,概率函数和总和的矩Ĵ高于以上行程的最高最大值 X 和的绝对值 ķ在以下偏移中的最低最小值 X, 包括 Ĵ=1个ķ=2个,在本文中进行了计算。

更新日期:2021-05-03
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