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The twoparameter PoissonDirichlet distribution derived from a stable subordinator.
, 1995
"... The twoparameter PoissonDirichlet distribution, denoted pd(ff; `), is a distribution on the set of decreasing positive sequences with sum 1. The usual PoissonDirichlet distribution with a single parameter `, introduced by Kingman, is pd(0; `). Known properties of pd(0; `), including the Markov ..."
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Cited by 218 (37 self)
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The twoparameter PoissonDirichlet distribution, denoted pd(ff; `), is a distribution on the set of decreasing positive sequences with sum 1. The usual PoissonDirichlet distribution with a single parameter `, introduced by Kingman, is pd(0; `). Known properties of pd(0; `), including the Markov chain description due to VershikShmidtIgnatov, are generalized to the twoparameter case. The sizebiased random permutation of pd(ff; `) is a simple residual allocation model proposed by Engen in the context of species diversity, and rediscovered by Perman and the authors in the study of excursions of Brownian motion and Bessel processes. For 0 ! ff ! 1, pd(ff; 0) is the asymptotic distribution of ranked lengths of excursions of a Markov chain away from a state whose recurrence time distribution is in the domain of attraction of a stable law of index ff. Formulae in this case trace back to work of Darling, Lamperti and Wendel in the 1950's and 60's. The distribution of ranked lengths of e...
Random Discrete Distributions Derived From SelfSimilar Random Sets
 Electronic J. Probability
, 1996
"... : A model is proposed for a decreasing sequence of random variables (V 1 ; V 2 ; \Delta \Delta \Delta) with P n V n = 1, which generalizes the PoissonDirichlet distribution and the distribution of ranked lengths of excursions of a Brownian motion or recurrent Bessel process. Let V n be the length ..."
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Cited by 14 (10 self)
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: A model is proposed for a decreasing sequence of random variables (V 1 ; V 2 ; \Delta \Delta \Delta) with P n V n = 1, which generalizes the PoissonDirichlet distribution and the distribution of ranked lengths of excursions of a Brownian motion or recurrent Bessel process. Let V n be the length of the nth longest component interval of [0; 1]nZ, where Z is an a.s. nonempty random closed of (0; 1) of Lebesgue measure 0, and Z is selfsimilar, i.e. cZ has the same distribution as Z for every c ? 0. Then for 0 a ! b 1 the expected number of n's such that V n 2 (a; b) equals R b a v \Gamma1 F (dv) where the structural distribution F is identical to the distribution of 1 \Gamma sup(Z " [0; 1]). Then F (dv) = f(v)dv where (1 \Gamma v)f(v) is a decreasing function of v, and every such probability distribution F on [0; 1] can arise from this construction. Keywords: interval partition, zero set, excursion lengths, regenerative set, structural distribution. AMS subject classificat...
On the Relative Lengths of Excursions Derived From a Stable Subordinator
, 1996
"... Results are obtained concerning the distribution of ranked relative lengths of excursions of a recurrent Markov process from a point in its state space whose inverse local time process is a stable subordinator. It is shown that for a large class of random times T the distribution of relative excursi ..."
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Cited by 14 (6 self)
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Results are obtained concerning the distribution of ranked relative lengths of excursions of a recurrent Markov process from a point in its state space whose inverse local time process is a stable subordinator. It is shown that for a large class of random times T the distribution of relative excursion lengths prior to T is the same as if T were a fixed time. It follows that the generalized arcsine laws of Lamperti extend to such random times T . For some other random times T , absolute continuity relations are obtained which relate the law of the relative lengths at time T to the law at a fixed time. 1 Introduction Following Lamperti [10], Wendel [24], Kingman [7], Knight [8], PermanPitman Yor [12, 13, 15], consider the sequence V 1 (T ) V 2 (T ) \Delta \Delta \Delta (1) of ranked lengths of component intervals of the set [0; T ]nZ, where T is a strictly positive random time, and Z is the zero set of a Markov process X started at zero, such as a Brownian motion or Bessel process,...
On the distribution of ranked heights of excursions of a Brownian bridge
 In preparation
, 1999
"... The distribution of the sequence of ranked maximum and minimum values attained during excursions of a standard Brownian bridge (B br t ; 0 t 1) is described. The height M br+ j of the jth highest maximum over a positive excursion of the bridge has the same distribution as M br+ 1 =j, where th ..."
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Cited by 11 (6 self)
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The distribution of the sequence of ranked maximum and minimum values attained during excursions of a standard Brownian bridge (B br t ; 0 t 1) is described. The height M br+ j of the jth highest maximum over a positive excursion of the bridge has the same distribution as M br+ 1 =j, where the distribution of M br+ 1 = sup 0t1 B br t is given by L'evy's formula P (M br+ 1 ? x) = e \Gamma2x 2 . The probability density of the height M br j of the jth highest maximum of excursions of the reflecting Brownian bridge (jB br t j; 0 t 1) is given by a modification of the known `function series for the density of M br 1 = sup 0t1 jB br t j. These results are obtained from a more general description of the distribution of ranked values of a homogeneous functional of excursions of the standardized bridge of a selfsimilar recurrent Markov process. Keywords: Brownian bridge, Brownian excursion, Brownian scaling, local time, selfsimilar recurrent Markov process, Bessel p...
On the lengths of excursions of some Markov processes
 In S'eminaire de Probabilit'es XXXI
, 1996
"... Results are obtained regarding the distribution of the ranked lengths of component intervals in the complement of the random set of times when a recurrent Markov process returns to its starting point. Various martingales are described in terms of the L'evy measure of the Poisson point process of int ..."
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Cited by 4 (3 self)
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Results are obtained regarding the distribution of the ranked lengths of component intervals in the complement of the random set of times when a recurrent Markov process returns to its starting point. Various martingales are described in terms of the L'evy measure of the Poisson point process of interval lengths on the local time scale. The martingales derived from the zero set of a onedimensional diffusion are related to martingales studied by Az'ema and Rainer. Formulae are obtained which show how the distribution of interval lengths is affected when the underlying process is subjected to a Girsanov transformation. In particular, results for the zero set of an OrnsteinUhlenbeck process or a CoxIngersollRoss process are derived from results for a Brownian motion or recurrent Bessel process, when the zero set is the range of a stable subordinator. 1 Introduction Let Z be the random set of times that a recurrent diffusion process X returns to its starting state 0. For a fixed or ra...
Combinatorial stochastic
"... This is a collection of expository articles about various topics at the interface between enumerative combinatorics and stochastic processes. These articles expand on a course of lectures given at the École d’Été de Probabilités de St. Flour in July 2002. The articles are called ’chapters ’ and numb ..."
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Cited by 1 (1 self)
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This is a collection of expository articles about various topics at the interface between enumerative combinatorics and stochastic processes. These articles expand on a course of lectures given at the École d’Été de Probabilités de St. Flour in July 2002. The articles are called ’chapters ’ and numbered according to the order of these chapters in a printed volume to appear in Springer Lecture Notes in Mathematics. Each chapter is fairly selfcontained, so readers with adequate background can start reading any chapter, with occasional consultation of earlier chapters as necessary. Following this Chapter 0, there are 10 chapters, each divided into sections. Most sections conclude with some Exercises. Those for which I don’t know solutions are called Problems. Acknowledgments Much of the research reviewed here was done jointly with David Aldous. Much credit is due to him, especially for the big picture of continuum approximations to large combinatorial structures. Thanks also to my other collaborators in this work, especially Jean Bertoin, Michael Camarri, Steven
Walks and Brownian Bridges
, 2000
"... Numerical investigations of the distributions of the longest excursions in tied down simple Random ..."
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Numerical investigations of the distributions of the longest excursions in tied down simple Random
PRICING PARISIAN OPTIONS USING
"... Abstract. In this work, we propose to price Parisian options using Laplace transforms. Not only do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We prove the accuracy of the numerical inversion. hal00776703, version 1 1 ..."
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Abstract. In this work, we propose to price Parisian options using Laplace transforms. Not only do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We prove the accuracy of the numerical inversion. hal00776703, version 1 16 Jan 2013 1.