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Zapiski Nauchnykh Seminarov POMI, 2007, Volume 341, Pages 48–67 (Mi znsl133)  

This article is cited in 2 scientific papers (total in 2 papers)

The area of exponential random walk and partial sums of uniform order statistics

V. V. Vysotsky

Saint-Petersburg State University
Full-text PDF (259 kB) Citations (2)
References:
Abstract: Let $S_i$ be a random walk with standard exponential increments. We denote by $\sum_{i=1}^k S_i$ its $k$-step area. The random variable $\inf_{k\ge 1}\frac2{k(k+1)}\sum_{i=1}^k S_i$ plays important role in the study of so-called one-dimensional sticky particles model. We find the distribution of this variable and prove that for $0\le t\le 1$,
$$ \mathbf P\,\biggl\{\inf_{k\ge 1}\frac2{k(k+1)}\sum_{i=1}^k S_i\ge t\biggr\}=\mathbf P\,\biggl\{\inf_{k\ge 1}\sum_{i=1}^k\bigl(S_i-it\bigr)\ge 0\biggr\}=\sqrt{1-t}\,e^{-t/2} $$
We also show that for $0\le t\le 1$,
$$ \lim_{n\to\infty}\,\mathbf P\,\biggl\{\min_{1\le k\le n}\frac{2n}{k(k+1)}\sum_{i=1}^k U_{i,n}\ge t\biggr\}=\sqrt{1-t}\,e^{-t/2}, $$
where $U_{i, n}$ are the order statistics of $n$ i.i.d. random variables uniformly distributed on $[0,1]$.
Received: 08.12.2006
English version:
Journal of Mathematical Sciences (New York), 2007, Volume 147, Issue 4, Pages 6873–6883
DOI: https://doi.org/10.1007/s10958-007-0510-x
Bibliographic databases:
UDC: 519.21
Language: Russian
Citation: V. V. Vysotsky, “The area of exponential random walk and partial sums of uniform order statistics”, Probability and statistics. Part 11, Zap. Nauchn. Sem. POMI, 341, POMI, St. Petersburg, 2007, 48–67; J. Math. Sci. (N. Y.), 147:4 (2007), 6873–6883
Citation in format AMSBIB
\Bibitem{Vys07}
\by V.~V.~Vysotsky
\paper The area of exponential random walk and partial sums of uniform order statistics
\inbook Probability and statistics. Part~11
\serial Zap. Nauchn. Sem. POMI
\yr 2007
\vol 341
\pages 48--67
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl133}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2363584}
\zmath{https://zbmath.org/?q=an:1130.60052}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2007
\vol 147
\issue 4
\pages 6873--6883
\crossref{https://doi.org/10.1007/s10958-007-0510-x}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-36048991523}
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  • https://www.mathnet.ru/eng/znsl/v341/p48
  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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