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Longest interval between zeros of the tied-down random walk, the Brownian bridge and related renewal processes

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Abstract

The probability distribution of the longest interval between two zeros of a simple random walk starting and ending at the origin, and of its continuum limit, the Brownian bridge, was analyzed in the past by Rosen and Wendel, then extended by the latter to stable processes. We recover and extend these results using simple concepts of renewal theory, which allows to revisit past or recent works of the physics literature. We also discuss related problems and open questions.
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cea-01494274 , version 1 (23-03-2017)

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Claude Godreche. Longest interval between zeros of the tied-down random walk, the Brownian bridge and related renewal processes. 2017. ⟨cea-01494274⟩
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