The argmin process of random walks, Brownian motion and Lévy processes

DOI10.1214/18-EJP185MaRDI QIDQ1663882zbMATH OpenOpenAlexFDO

Authors Wenpin Tang, Jim Pitman

Publication date 24 August 2018

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.01524, https://projecteuclid.org/euclid.ejp/1529460158

zbMATH Keywords

random walksstationary processjump processstable processarcsine lawMarkov propertypath decompositionFeller semigroupargmin processBrownian excursion theoryBrownian extremarenewal propertysample path propertyspace-time shift processLévy processLévy system

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Abstract: In this paper we investigate the argmin process of Brownian motion $B$ defined by $alph{a}_t:=supleftsin[0,1]:B_{t+s}=mi{n}_{uin[0,1]}{B}_{t+u}ight$ for $tgeq0$. The argmin process $alpha$ is stationary,with invariant measure which is arcsine distributed. We prove that $(alph{a}_t;tgeq0)$ is a Markov process with the Feller property, and provide its transition kernel $Q_t(x,cdot)$ for $t>0$ and $xin[0,1]$. Similar results for the argmin process of random walks and L'evy processes are derived. We also consider Brownian extrema of a given length. We prove that these extrema form a delayed renewal process with an explicit path construction. We also give a path decomposition for Brownian motion at these extrema

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