The distribution of the maximal difference between a Brownian bridge and its concave majorant

DOI10.3150/10-BEJ280zbMath1284.60151arXiv0910.0405OpenAlexW1994266781MaRDI QIDQ637112

Fadoua Balabdaoui, Jim W. Pitman

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.0405

zbMATH Keywords

Brownian excursionBrownian bridgeconcave majorantstick-breaking processDoob's transformationinverse of Laplace transform

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (7)

Markovian structure in the concave majorant of Brownian motion ⋮ The convex minorant of a Lévy process ⋮ Testing monotonicity via local least concave majorants ⋮ Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges ⋮ Some developments in the theory of shape constrained inference ⋮ Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant ⋮ The greatest convex minorant of Brownian motion, meander, and bridge

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