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Extreme value statistics of correlated random variables: a pedagogical review (Q2187814)

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English	Extreme value statistics of correlated random variables: a pedagogical review	scientific article

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scholarly article

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Extreme value statistics of correlated random variables: a pedagogical review (English)

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Satya N. Majumdar

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Grégory Schehr

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Physics Reports

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publication date

3 June 2020

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full work available at URL

https://arxiv.org/abs/1910.10667

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zbMATH Keywords

extreme value

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random variables

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MaRDI profile type

MaRDI publication profile

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Sur la distribution limite du terme maximum d'une série aléatoire

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Level-spacing distributions and the Airy kernel

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Universality classes for extreme-value statistics

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Exact solutions for the statistics of extrema of some random 1D landscapes, application to the equilibrium and the dynamics of the toy model

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Extreme value statistics and traveling fronts: Various applications

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Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces

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On the area under a continuous time Brownian motion till its first-passage time

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Generalized extreme value statistics and sum of correlated variables

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Records in a changing world

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Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou

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On the time to reach maximum for a variety of constrained Brownian motions

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Universal Record Statistics of Random Walks and Lévy Flights

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Two Bessel bridges conditioned never to collide, double Dirichlet series, and Jacobi theta function

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Exact Distribution of the Maximal Height of<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline"><mml:mi>p</mml:mi></mml:math>Vicious Walkers

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Time at which the maximum of a random acceleration process is reached

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Endpoint distribution of directed polymers in \(1 + 1\) dimensions

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Non-intersecting Brownian walkers and Yang-Mills theory on the sphere

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Nonintersecting Brownian motions on the half-line and discrete Gaussian orthogonal polynomials

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Universal statistics of longest lasting records of random walks and Lévy flights

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Applications of extreme value statistics in physics

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Record statistics of a strongly correlated time series: random walks and Lévy flights

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Statistical mechanics of a single particle in a multiscale random potential: Parisi landscapes in finite-dimensional Euclidean spaces

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Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential

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Pre-freezing of multifractal exponents in random energy models with a logarithmically correlated potential

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Renormalization flow for extreme value statistics of random variables raised to a varying power

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Order Statistics

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Limit Theorems for the Maximum Term in Stationary Sequences

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A Guide to First-Passage Processes

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Maximum of a fractional Brownian motion: Probabilities of small values

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Pickands’ constant at first order in an expansion around Brownian motion

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Maximum of<i>N</i>independent Brownian walkers till the first exit from the half-space

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Maximal distance travelled by \(N\) vicious walkers till their survival

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Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary

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Branching Brownian motion conditioned on particle numbers

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Large deviations for the branching Brownian motion in presence of selection or coalescence

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Slower deviations of the branching Brownian motion and of branching random walks

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Probability distribution of the number of distinct sites visited by a random walk on the finite-size fully-connected lattice

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Survival probability of random walks and Lévy flights on a semi-infinite line

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Asymptotics for the expected maximum of random walks and Lévy flights with a constant drift

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Mean perimeter and mean area of the convex hull over planar random walks

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A Path Transformation and its Applications to Fluctuation Theory

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First gap statistics of long random walks with bounded jumps

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Nonequilibrium statistical mechanics of the zero-range process and related models

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Statistics of the longest interval in renewal processes

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Mixed order transition and condensation in an exactly soluble one dimensional spin model

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Fluctuation-dominated phase ordering at a mixed order transition

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Brownian excursion area, wright's constants in graph enumeration, and other Brownian areas

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The first-passage area for drifted Brownian motion and the moments of the Airy distribution

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Statistics of the first passage time of Brownian motion conditioned by maximum value or area

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Statistical Theory of the Energy Levels of Complex Systems. I

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Matrix models for beta ensembles

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Painlevé representation of Tracy-Widom\(_\beta\) distribution for \(\beta=6\)

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From random matrices to stochastic operators

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Beta ensembles, stochastic Airy spectrum, and a diffusion

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Large deviations of the maximal eigenvalue of random matrices

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Asymptotics of Tracy-Widom distributions and the total integral of a Painlevé II function

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Asymptotics of the Airy-kernel determinant

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RIGHT TAIL ASYMPTOTIC EXPANSION OF TRACY–WIDOM BETA LAWS

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The right tail exponent of the Tracy-Widom \(\beta\) distribution

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Statistics of the maximal distance and momentum in a trapped Fermi gas at low temperature

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Non-interacting fermions in hard-edge potentials

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Near-extreme eigenvalues and the first gap of Hermitian random matrices

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The Density of Eigenvalues Seen from the Soft Edge of Random Matrices in the Gaussian $\beta $-ensembles

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<i>δ</i>-exceedance records and random adaptive walks

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Critical points and supersymmetric vacua. I

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Information, Physics, and Computation

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.PHYSREP.2019.10.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:2187814

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