Corpus ID: 237091617

Discrete sampling of correlated random variables modifies the long-time behavior of their extreme value statistics

@inproceedings{Zarfaty2021DiscreteSO,
  title={Discrete sampling of correlated random variables modifies the long-time behavior of their extreme value statistics},
  author={Lior Zarfaty and Eli Barkai and David A. Kessler},
  year={2021}
}
We consider the extreme value statistics of correlated random variables that arise from a Langevin equation. Recently, it was shown that the extreme values of the Ornstein-Uhlenbeck process follow a different distribution than those originating from its equilibrium measure, composed of independent and identically distributed Gaussian random variables. Here, we first focus on the discretely sampled Ornstein-Uhlenbeck process, which interpolates between these two limits. We show that in the limit… Expand

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