Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Asymptotic properties of ranked heights in Brownian excursions


Code(s) de Classification MSC:

Résumé: 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.

Mots Clés: Ranked heights ; Brownian and Bessel excursions ; integral test ; law of the iterated logarithm

Date: 1999-05-04

Prépublication numéro: PMA-499