Universal order statistics for random walks \& Lévy flights
From MaRDI portal
Publication:2107263
DOI10.1007/s10955-022-03027-wOpenAlexW4310276186MaRDI QIDQ2107263
Grégory Schehr, Benjamin De Bruyne, Satya N. Majumdar
Publication date: 1 December 2022
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.15057
Markov processes (60Jxx) Stochastic processes (60Gxx) Time-dependent statistical mechanics (dynamic and nonequilibrium) (82Cxx)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mittag-Leffler functions and their applications
- Level-spacing distributions and the Airy kernel
- Exact solutions for the statistics of extrema of some random 1D landscapes, application to the equilibrium and the dynamics of the toy model
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
- A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
- Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
- Extreme value statistics of correlated random variables: a pedagogical review
- Canonical analysis of condensation in factorised steady states
- Sample quantiles of stochastic processes with stationary and independent ents
- Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces
- An elementary probability approach to fluctuation theory
- Extreme order statistics of random walks
- Large deviations of the maximum of independent and identically distributed random variables
- Nonequilibrium statistical mechanics of the zero-range process and related models
- On Interval Recurrent Sums of Independent Random Variables
- The Maximum of Sums of Stable Random Variables
- Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
- Top eigenvalue of a random matrix: large deviations and third order phase transition
- On the gap and time interval between the first two maxima of long random walks
- On the time to reach maximum for a variety of constrained Brownian motions
- Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential
- 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
- Order statistics of partial sums of mutually independent random variables
- Universality classes for extreme-value statistics
- A Path Transformation and its Applications to Fluctuation Theory
- Order Statistics
- Survival probability of random walks and Lévy flights on a semi-infinite line
- Precise asymptotics for a random walker’s maximum
- Statistics of the maximum and the convex hull of a Brownian motion in confined geometries
- Gap statistics close to the quantile of a random walk
- Condensation transition in large deviations of self-similar Gaussian processes with stochastic resetting
- Universal gap statistics for random walks for a class of jump densities
- A first-order dynamical transition in the displacement distribution of a driven run-and-tumble particle
- Expected maximum of bridge random walks & Lévy flights
- First-order condensation transition in the position distribution of a run-and-tumble particle in one dimension
- Statistical mechanics of logarithmic REM: duality, freezing and extreme value statistics of 1/fnoises generated by Gaussian free fields
- Order Statistics of Partial Sums
- On certain limit theorems of the theory of probability
This page was built for publication: Universal order statistics for random walks \& Lévy flights