Speaker
Satya MAJUMDAR
(LPTMS-Saclay)
Description
For any stochastic time-series of duration T, the time t_max at which
the process achieves its maximum is an important observable. For example,
for a stock price over a trading period T, one would like to sell the
stock at the time when the price is maximal. I'll discuss the statistics
of t_max for a variety of stochastic processes. In particular, for a large class
of stationary processes, both in and out of equilibrium systems, we show
that the distribution of t_max over [0,T] exhibits a universal
edge behavior (near 0 and T).
