The greatest convex minorant of Brownian motion, meander, and bridge

Details The greatest convex minorant of Brownian motion, meander, and bridge The greatest convex minorant of Brownian motion, meander, and bridge

2010-11-12

arxiv.org/abs/1011.3073v1

Mathematics

Probability

36 pages, 2 figures

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

The greatest convex minorant of Brownian motion, meander, and bridge 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 The greatest convex minorant of Brownian motion, meander, and bridge, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The greatest convex minorant of Brownian motion, meander, and bridge will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-445067