Consider a simple symmetric random walk on the line. The parts of the random walk between consecutive returns to the origin are called excursions. The heights and lengths of these excursions can be arranged in decreasing order. In this paper we give the exact and limiting distributions of these ranked quantities. These results are analogues of the corresponding results of Pitman and Yor [1997, 1998, 2001] for Brownian motion.

Source : oai:HAL:hal-01183932v1

Volume: DMTCS Proceedings vol. AC, Discrete Random Walks (DRW'03)

Section: Proceedings

Published on: January 1, 2003

Submitted on: May 10, 2017

Keywords: simple random walk,excursion length,excursion height,[INFO.INFO-DS] Computer Science [cs]/Data Structures and Algorithms [cs.DS],[INFO.INFO-DM] Computer Science [cs]/Discrete Mathematics [cs.DM],[MATH.MATH-CO] Mathematics [math]/Combinatorics [math.CO],[INFO.INFO-CG] Computer Science [cs]/Computational Geometry [cs.CG]

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