The alternating marked point process of h-slopes of drifted Brownian motion

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:119

Article

Faggionato, Alessandra

关键词: Brownian motion;    Marked point processes;    Palm-Khinchin theory;    Fluctuation theory;   

DOI  :  10.1016/j.spa.2008.09.002

来源: Elsevier

【 摘 要 】

We show that the slopes between h-extrema of the drifted ID Brownian motion form a stationary alternating marked point process, extending the result of J. Neveu and J. Pitman for the non-drifted case. Our analysis covers the results On the statistics of h-extrema obtained by P. Le Doussal, C. Monthus and D. Fisher via a Renormalization Group analysis and gives a complete description of the slope between h-extrema covering the origin by means of the Palm-Khinchin theory. Moreover, we analyze the behavior of the Brownian motion near its h-extrema. (C) 2008 Elsevier B.V. All rights reserved.

【 授权许可】

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