The greatest convex minorant of Brownian motion, meander, and bridge

DOI10.1007/S00440-011-0385-0zbMath1255.60143arXiv1011.3073OpenAlexW1965403980MaRDI QIDQ714952

Nathan Ross, Jim W. Pitman

Publication date: 12 October 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3073

zbMATH Keywords

Brownian motionpath decompositionsconvex minorant

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Brownian motion (60J65) Distribution theory (60E99)

Related Items (5)

Markovian structure in the concave majorant of Brownian motion ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ The convex minorant of a Lévy process ⋮ Some developments in the theory of shape constrained inference ⋮ Convex hulls of random walks and their scaling limits

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The convex minorant of a Lévy process
• The distribution of the maximal difference between a Brownian bridge and its concave majorant
• Markov chains and stochastic stability
• Weak convergence to Brownian excursion
• The concave majorant of Brownian motion
• Sunset over Brownistan
• Path transformations of first passage bridges
• On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)\) and a property of gamma distributions]
• Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
• The convex minorant of the Cauchy process
• Markovian bridges: weak continuity and pathwise constructions
• Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.
• Concave Majorants of Random Walks and Related Poisson Processes
• Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
• Records, permutations and greatest convex minorants
• Fluctuation identities for lévy processes and splitting at the maximum
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• One-dimensional Brownian motion and the three-dimensional Bessel process
• Convex Minorants of Random Walks and Brownian Motion

This page was built for publication: The greatest convex minorant of Brownian motion, meander, and bridge