Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
Jim Pitman, Wenpin Tang
Abstract
This paper is concerned with the limit laws of the extreme order statistics derived from a symmetric Laplace walk. We provide two different descriptions of the point process of the limiting extreme order statistics: a branching representation and a squared Bessel representation. These complementary descriptions expose various hidden symmetries in branching processes and Brownian motion which lie behind some striking formulas found by Schehr and Majumdar (Phys. Rev. Lett. 108 (2012) 040601). In particular, the Bessel process of dimension 4=2+2 appears in the descriptions as a path decomposition of Brownian motion at a local minimum and the Ray–Knight description of Brownian local times near the minimum.
Topics & Concepts
MathematicsBessel processBrownian motionBrownian excursionPoint processLaplace transformRandom walkExtreme value theoryBessel functionStatistical physicsLimit (mathematics)Mathematical analysisDiffusion processGeometric Brownian motionStatisticsKnowledge managementPhysicsClassical orthogonal polynomialsInnovation diffusionOrthogonal polynomialsGegenbauer polynomialsComputer scienceRandom Matrices and ApplicationsStochastic processes and statistical mechanicsBayesian Methods and Mixture Models