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Zapiski Nauchnykh Seminarov POMI, 2007, Volume 341, Pages 48–67
(Mi znsl133)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/znsl133 https://www.mathnet.ru/eng/znsl/v341/p48
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Abstract page: | 268 | Full-text PDF : | 71 | References: | 32 |
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