Convex minorants of random walks and Lévy processes

DOI10.1214/ECP.V16-1648zbMATH Open1243.60039arXiv1102.0818OpenAlexW1973953219MaRDI QIDQ428673FDOQ428673

Jim Pitman, Josh Abramson, Gerónimo Uribe Bravo, Nathan Ross

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: This article provides an overview of recent work on descriptions and properties of the convex minorant of random walks and L'evy processes which summarize and extend the literature on these subjects. The results surveyed include point process descriptions of the convex minorant of random walks and L'evy processes on a fixed finite interval, up to an independent exponential time, and in the infinite horizon case. These descriptions follow from the invariance of these processes under an adequate path transformation. In the case of Brownian motion, we note how further special properties of this process, including time-inversion, imply a sequential description for the convex minorant of the Brownian meander.

Full work available at URL: https://arxiv.org/abs/1102.0818

zbMATH Keywords

random walksBrownian meanderconvex minorantuniform stickbreakingLévy processesfluctuation theory abstract this article provides an overview of recent work on descriptions and properties of the convex minorant of random walks and Lévy processes as detailed in [

Mathematics Subject Classification ID

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

Cited In (15)

• Convex Minorants of Random Walks and Brownian Motion
• Lipschitz minorants of Brownian motion and Lévy processes
• The convex minorant of a Lévy process
• Dini derivatives and regularity for exchangeable increment processes
• Convex minorants and the fluctuation theory of L\'evy processes
• Distribution-free properties of isotonic regression
• Markovian structure in the concave majorant of Brownian motion
• Convex hulls of multidimensional random walks
• Asymptotic shape of the concave majorant of a Lévy process
• The convex minorant of the Cauchy process
• Zeros of random tropical polynomials, random polygons and stick-breaking
• Conic intrinsic volumes of Weyl chambers
• Limit theorems for local times and applications to SDEs with jumps
• When is the convex hull of a Lévy path smooth?
• How long is the convex minorant of a one-dimensional random walk?

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