The quantile transform of simple walks and Brownian motion

Abstract

We examine a new path transform on 1-dimensional simple random walks and Brownian motion, the quantile transform. This transformation relates to identities in fluctuation theory due to Wendel, Port, Dassios and others, and to discrete and Brownian versions of Tanaka’s formula. For an $n$-step random walk, the quantile transform reorders increments according to the value of the walk at the start of each increment. We describe the distribution of the quantile transform of a simple random walk of $n$ steps, using a bijection to characterize the number of pre-images of each possible transformed path. We deduce, both for simple random walks and for Brownian motion, that the quantile transform has the same distribution as Vervaat’s transform. For Brownian motion, the quantile transforms of the embedded simple random walks converge to a time change of the local time profile. We characterize the distribution of the local time profile, giving rise to an identity that generalizes a variant of Jeulin’s description of the local time profile of a Brownian bridge or excursion.