On excursions inside an excursion
- 2019-11-11 (Mon.), 11:00 AM
- R6005, Research Center for Environmental Changes Building
- Prof. May-Ru Chen
- Department of Applied Mathematics, National Sun Yat-sen University
Abstract
The distribution of ranked heights of excursions of a Brownian bridge is given in a paper by Pitman and Yor (2001). In this talk, we consider excursions of a Brownian excursion above a random level.?We study the maximum heights of these excursions as Pitman and Yor did for excursions of a Brownian bridge.
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