The greatest convex minorant of Brownian motion, meander, and bridge
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Abstract: This article contains both a point process and a sequential description of the greatest convex minorant of Brownian motion on a finite interval. We use these descriptions to provide new analysis of various features of the convex minorant such as the set of times where the Brownian motion meets its minorant. The equivalence of the these descriptions is non-trivial, which leads to many interesting identities between quantities derived from our analysis. The sequential description can be viewed as a Markov chain for which we derive some fundamental properties.
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Cited in
(9)- Convex hulls of random walks and their scaling limits
- Some developments in the theory of shape constrained inference
- \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
- Markovian structure in the concave majorant of Brownian motion
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- A one-dimensional gravitationally interacting gas and the convex minorant of Brownian motion
- When is the convex hull of a Lévy path smooth?
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