Convex minorants of random walks and Lévy processes

Details Convex minorants of random walks and Lévy processes Convex minorants of random walks and Lévy processes

2011-02-04

arxiv.org/abs/1102.0818v1

Mathematics

Probability

11 pages, 5 figures

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Convex minorants of random walks and Lévy processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Convex minorants of random walks and Lévy processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Convex minorants of random walks and Lévy processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-491184