Markovian structure in the concave majorant of Brownian motion

DOI10.1214/22-EJP769MaRDI QIDQ2144338zbMATH OpenOpenAlexFDO

Authors Mehdi Ouaki, Jim Pitman

Publication date 13 June 2022

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

Full work available at URL https://arxiv.org/abs/2105.11042

zbMATH Keywords

Brownian motionpath decompositionconvex minorant

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65)

Abstract: The purpose of this paper is to highlight some hidden Markovian structure of the concave majorant of the Brownian motion. Several distributional identities are implied by the joint law of a standard one-dimensional Brownian motion $B$ and its almost surely unique concave majorant $K$ on $[0,infty)$. In particular, the one-dimensional distribution of $2K_t-B_t$ is that of $R_5(t)$, where $R_5$ is a $5-$dimensional Bessel process with $R_5(0)=0$. The process $2K-B$ shares a number of other properties with $R_5$, and we conjecture that it may have the distribution of $R_5$. We also describe the distribution of the convex minorant of a three-dimensional Bessel process with drift.

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Cited in

(3)

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• The greatest convex minorant of Brownian motion, meander, and bridge
• Concave majorants of random walks and related Poisson processes

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