随机游走的极序统计量

IF 1.5 Q2 PHYSICS, MATHEMATICAL Annales de l Institut Henri Poincare D Pub Date : 2020-07-28 DOI:10.1214/22-aihp1254

J. Pitman, Wenpin Tang

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引用次数: 7

摘要

本文研究了随机漫步极值阶统计量的极限理论。我们建立了在Feller链的随机漫步最小值附近的阶统计量的联合收敛性。给出了简单对称游动和高斯游动的极限过程的详细描述。本文还提出了一些有待解决的问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Extreme order statistics of random walks

This paper is concerned with the limit theory of the extreme order statistics derived from random walks. We establish the joint convergence of the order statistics near the minimum of a random walk in terms of the Feller chains. Detailed descriptions of the limit process are given in the case of simple symmetric walks and Gaussian walks. Some open problems are also presented.

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