The area of exponential random walk and partial sums of uniform order statistics
Probability
2007-05-23 v2
Abstract
Let S_i be a random walk with standard exponential increments. We call \sum_{i=1}^k S_i its k-step area. The random variable V = \inf_{k \ge 1} \frac{2}{k(k+1)} \sum_{i=1}^k S_i plays important role in the study of so-called one-dimensional sticky particles model. We find the distribution of V and prove that P(V > t) = \sqrt{1-t} exp(-t/2) for t in [0,1]. We also show that the variables \min_{1 \le k \le n} \frac{2n}{k(k+1)} \sum_{i=1}^k U_{i, n} converge in distribution to V. Here U_{i, n} are the order statistics of n i.i.d. random variables uniformly distributed on [0,1].
Keywords
Cite
@article{arxiv.math/0612490,
title = {The area of exponential random walk and partial sums of uniform order statistics},
author = {Vladislav Vysotsky},
journal= {arXiv preprint arXiv:math/0612490},
year = {2007}
}
Comments
Added one reference; corrected few typos; added one sentence to Proposition 1