Asymptotic Properties of Ranked Heights in Brownian Excursions

Endre Csáki () and Yueyun Hu
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Endre Csáki: Hungarian Academy of Sciences
Yueyun Hu: Université Paris VI

Journal of Theoretical Probability, 2001, vol. 14, issue 1, 77-96

Abstract: Abstract Pitman and Yor(20, 21) recently studied the distributions related to the ranked excursion heights of a Brownian bridge. In this paper, we study the asymptotic properties of the ranked heights of Brownian excursions. The heights of both high and low excursions are characterized by several integral tests and laws of the iterated logarithm. Our analysis relies on the distributions of the ranked excursion heights considered up to some random times.

Keywords: ranked heights; Brownian and Bessel excursions; integral test; law of the iterated logarithm (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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DOI: 10.1023/A:1007868914766

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