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math.PR2026
From Pitman's local times representation to the Gorin-Shkolnikov identity and beyond
Wenpin Tang
We give a novel proof of the Gorin-Shkolnikov identity based on Pitman's SDE representation of Brownian excursion local times. More generally, we derive a family of Gaussian identi…
math.PR2025
The football model, stochastic ordering and martingale transport
Gaoyue Guo, Nicolas Juillet, Wenpin Tang
Tournaments are competitions between a number of teams, the outcome of which determines the relative strength or rank of each team. In many cases, the strength of a team in the tou…