The convex minorant of a Lévy process

DOI10.1214/11-AOP658zbMATH Open1248.60053arXiv1011.3069OpenAlexW2078988630MaRDI QIDQ439880FDOQ439880

Authors: Gerónimo Uribe Bravo, Jim Pitman 

Publication date: 17 August 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We offer a unified approach to the theory of convex minorants of L'{e}vy processes with continuous distributions. New results include simple explicit constructions of the convex minorant of a L'{e}vy process on both finite and infinite time intervals, and of a Poisson point process of excursions above the convex minorant up to an independent exponential time. The Poisson-Dirichlet distribution of parameter 1 is shown to be the universal law of ranked lengths of excursions of a L'{e}vy process with continuous distributions above its convex minorant on the interval $[0,1]$.

Full work available at URL: https://arxiv.org/abs/1011.3069

Recommendations

• Convex minorants and the fluctuation theory of Lévy processes
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• Asymptotic shape of the concave majorant of a Lévy process
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zbMATH Keywords

fluctuation theoryconvex minorantuniform stick-breakingVervaat transformationLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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