The extremal process of two-speed branching Brownian motion
Anton Bovier, Lisa Hartung

TL;DR
This paper analyzes the extremal process of two-speed branching Brownian motion with piecewise constant speeds, revealing different behaviors depending on the speed parameters and introducing new cluster point processes.
Contribution
It constructs and describes the extremal process for variable speed BBM with piecewise constant speeds, including the novel case when the faster speed occurs later.
Findings
Extremal process is a concatenation of two BBM extremal processes when the first speed is higher.
A new family of cluster point processes emerges when the second speed is higher.
The approach follows the strategy of Arguin, Bovier, and Kistler.
Abstract
We construct and describe the extremal process for variable speed branching Brownian motion, studied recently by Fang and Zeitouni, for the case of piecewise constant speeds; in fact for simplicity we concentrate on the case when the speed is for and when . In the case , the process is the concatenation of two BBM extremal processes, as expected. In the case , a new family of cluster point processes arises, that are similar, but distinctively different from the BBM process. Our proofs follow the strategy of Arguin, Bovier, and Kistler.
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Taxonomy
TopicsStochastic processes and statistical mechanics · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
