The Laws of, and Conditioning with Respect to, Last Passage Times

2013 ◽  
pp. 93-100
Author(s):  
Ju-Yi Yen ◽  
Marc Yor
Keyword(s):  
Last Passage Times ◽  
Passage Times

scholarly journals Local stationarity in exponential last-passage percolation

2021 ◽  
Author(s):  
Márton Balázs ◽  
Ofer Busani ◽  
Timo Seppäläinen
Keyword(s):  
Brownian Motion ◽  
Total Variation ◽  
High Probability ◽  
Probabilistic Methods ◽  
Side Length ◽  
Last Passage Percolation ◽  
Last Passage Times ◽  
Starting Point ◽  
Point To Point ◽  
Passage Times

AbstractWe consider point-to-point last-passage times to every vertex in a neighbourhood of size $$\delta N^{\nicefrac {2}{3}}$$ δ N 2 3 at distance N from the starting point. The increments of the last-passage times in this neighbourhood are shown to be jointly equal to their stationary versions with high probability that depends only on $$\delta $$ δ . Through this result we show that (1) the $$\text {Airy}_2$$ Airy 2 process is locally close to a Brownian motion in total variation; (2) the tree of point-to-point geodesics from every vertex in a box of side length $$\delta N^{\nicefrac {2}{3}}$$ δ N 2 3 going to a point at distance N agrees inside the box with the tree of semi-infinite geodesics going in the same direction; (3) two point-to-point geodesics started at distance $$N^{\nicefrac {2}{3}}$$ N 2 3 from each other, to a point at distance N, will not coalesce close to either endpoint on the scale N. Our main results rely on probabilistic methods only.

scholarly journals RANDOM MATRIX MINOR PROCESSES RELATED TO PERCOLATION THEORY

2013 ◽  
Vol 02 (04) ◽  
pp. 1350008 ◽  
Author(s):  
MARK ADLER ◽  
PIERRE VAN MOERBEKE ◽  
DONG WANG
Keyword(s):  
Transition Probability ◽  
External Source ◽  
Finite Width ◽  
Infinite Strip ◽  
Determinantal Point Process ◽  
Last Passage Percolation ◽  
Common Features ◽  
Last Passage Times ◽  
Precise Relationship ◽  
Passage Times

This paper studies a number of matrix models of size n and the associated Markov chains for the eigenvalues of the models for consecutive n's. They are consecutive principal minors for two of the models, GUE with external source and the multiple Laguerre matrix model, and merely properly defined consecutive matrices for the third one, the Jacobi–Piñeiro model; nevertheless the eigenvalues of the consecutive models all interlace. We show: (i) For each of those finite models, we give the transition probability of the associated Markov chain and the joint distribution of the entire interlacing set of eigenvalues; we show this is a determinantal point process whose extended kernels share many common features. (ii) To each of these models and their set of eigenvalues, we associate a last-passage percolation model, either finite percolation or percolation along an infinite strip of finite width, yielding a precise relationship between the last-passage times and the eigenvalues. (iii) Finally, it is shown that for appropriate choices of exponential distribution on the percolation, with very small means, the rescaled last-passage times lead to the Pearcey process; this should connect the Pearcey statistics with random directed polymers.

The distribution of Brownian quantiles

1995 ◽  
Vol 32 (2) ◽  
pp. 405-416 ◽  
Author(s):  
Marc Yor
Keyword(s):  
Brownian Motion ◽  
Last Passage Times ◽  
Related Integral ◽  
Passage Times

The distribution of Brownian quantiles is determined, simplifying related integral expressions obtained by Lévy [9], [10] and more recently by Miura [11]. Three proofs are given, two of them involving last-passage times of Brownian motion, before time 1, at a given level.

scholarly journals Processes of Class Sigma, Last Passage Times, and Drawdowns

2012 ◽  
Vol 3 (1) ◽  
pp. 280-303 ◽  
Author(s):  
Patrick Cheridito ◽  
Ashkan Nikeghbali ◽  
Eckhard Platen
Keyword(s):  
Last Passage Times ◽  
Passage Times

Approximation of Passage Times of γ-Reflected Processes with FBM Input

2014 ◽  
Vol 51 (03) ◽  
pp. 713-726 ◽  
Author(s):  
Enkelejd Hashorva ◽  
Lanpeng Ji
Keyword(s):  
Random Fields ◽  
Linear Trend ◽  
Risk Process ◽  
Gaussian Random Fields ◽  
Hurst Index ◽  
Input Process ◽  
Last Passage Times ◽  
Tax Payments ◽  
Risk Processes ◽  
Passage Times

Define a γ-reflected process W γ(t) = Y H (t) - γinf s∈[0,t] Y H (s), t ≥ 0, with input process {Y H (t), t ≥ 0}, which is a fractional Brownian motion with Hurst index H ∈ (0, 1) and a negative linear trend. In risk theory R γ(u) = u - W γ(t), t ≥ 0, is referred to as the risk process with tax payments of a loss-carry-forward type. For various risk processes, numerous results are known for the approximation of the first and last passage times to 0 (ruin times) when the initial reserve u goes to ∞. In this paper we show that, for the γ-reflected process, the conditional (standardized) first and last passage times are jointly asymptotically Gaussian and completely dependent. An important contribution of this paper is that it links ruin problems with extremes of nonhomogeneous Gaussian random fields defined by Y H , which we also investigate.

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