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 .
Recommendations
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- Convex rearrangements of Lévy processes
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