Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
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Publication:1881412
DOI10.1007/BF02517802zbMath1057.60077MaRDI QIDQ1881412
Richard L. Dykstra, Chris Carolan
Publication date: 5 October 2004
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
60J65: Brownian motion
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Cites Work
- The concave majorant of Brownian motion
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- Marginal densities of the least concave majorant of Brownian motion.
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- Isotonic regression: Another look at the changepoint problem
- Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I