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 , where 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 th highest maximum over an excursion above and the absolute value of the th lowest minimum over an excursion below , including and , 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, 在哪里 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高于以上行程的最高最大值 和的绝对值 在以下偏移中的最低最小值 , 包括 和 ,在本文中进行了计算。