Nearly fifty years after the introduction of skew Brownian motion by Itô and
McKean (1963), the first passage time distribution remains unknown. In this
paper, we first generalize results of Pitman and Yor (2001) and Csáki and Hu
(2004) to derive formulae for the distribution of ranked excursion heights of...
The "coupon collection problem" refers to a class of occupancy problems,
in which j identical items are distributed, independently and at random,
to n cells, with no restrictions on multiple occupancy. Identifying the cells as
coupons, a coupon is "collected" if the cell is occupied by one or more of...