The greatest convex minorant of Brownian motion, meander, and bridge
From MaRDI portal
Publication:714952
DOI10.1007/S00440-011-0385-0zbMATH Open1255.60143arXiv1011.3073OpenAlexW1965403980MaRDI QIDQ714952FDOQ714952
Publication date: 12 October 2012
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1011.3073
Recommendations
- Convex minorants of random walks and Lévy processes
- scientific article; zbMATH DE number 3919501
- Convex Minorants of Random Walks and Brownian Motion
- Brownian motion, bridge excursion, and meander characterized by sampling at independent uniform times
- Markovian structure in the concave majorant of Brownian motion
Brownian motion (60J65) Discrete-time Markov processes on general state spaces (60J05) Distribution theory (60E99)
Cites Work
- Markov chains and stochastic stability
- Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.
- Title not available (Why is that?)
- Fluctuation identities for lévy processes and splitting at the maximum
- Path transformations of first passage bridges
- Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
- Title not available (Why is that?)
- Markovian bridges: weak continuity and pathwise constructions
- Title not available (Why is that?)
- The convex minorant of a Lévy process
- Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
- Title not available (Why is that?)
- One-dimensional Brownian motion and the three-dimensional Bessel process
- The convex minorant of the Cauchy process
- Concave Majorants of Random Walks and Related Poisson Processes
- Title not available (Why is that?)
- Convex Minorants of Random Walks and Brownian Motion
- The concave majorant of Brownian motion
- Title not available (Why is that?)
- The distribution of the maximal difference between a Brownian bridge and its concave majorant
- On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)]\) and a property of gamma distributions
- Records, permutations and greatest convex minorants
- Weak convergence to Brownian excursion
- Sunset over Brownistan
- Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (9)
- The convex minorant of a Lévy process
- Some developments in the theory of shape constrained inference
- Title not available (Why is that?)
- A one-dimensional gravitationally interacting gas and the convex minorant of Brownian motion
- Markovian structure in the concave majorant of Brownian motion
- Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
- \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
- Convex hulls of random walks and their scaling limits
- When is the convex hull of a Lévy path smooth?
This page was built for publication: The greatest convex minorant of Brownian motion, meander, and bridge
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q714952)
