The rank of the present excursion

DOI10.1016/0304-4149(95)91544-BzbMath0819.60069MaRDI QIDQ1346148

Carel L. Scheffer

Publication date: 15 August 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

excursionsBrownian motionheavy-tailed distributionspoint processeslocal timePalm probabilities

Mathematics Subject Classification ID

Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

Related Items (5)

The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator ⋮ Record statistics of a strongly correlated time series: random walks and Lévy flights ⋮ Statistics of the longest interval in renewal processes ⋮ Ages of records in random walks ⋮ Double-sided Parisian option pricing

Cites Work

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