The convex minorant of the Cauchy process (Q1977464): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
(2 intermediate revisions by one other user not shown) | |||
Property / author | |||
Property / author: Q915270 / rank | |||
Property / reviewed by | |||
Property / reviewed by: Zdzisław Rychlik / rank | |||
Property / author | |||
Property / author: Jean Bertoin / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Zdzisław Rychlik / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Latest revision as of 06:26, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The convex minorant of the Cauchy process |
scientific article |
Statements
The convex minorant of the Cauchy process (English)
0 references
18 May 2000
0 references
The author determines the law of the convex minorant (\(M_s\), \(s\in[0,1]\)) of a real-valued Cauchy process on the unit time interval, in terms of the gamma process. For a given real-valued function \(f\) defined on some interval \(I\subseteq \mathbb{R}\), one calls the convex minorant of \(f\) the largest convex function on \(I\) which is bounded from above by \(f\). The author also proves that the paths of \(M\) have a continuous derivative, and that the support of the Stieltjes measure \(dM'\) has logarithmic dimension one.
0 references
Cauchy process
0 references
convex minorant
0 references