Statistical Properties of Convex Minorants of Random Walks and Brownian Motions

Details Statistical Properties of Convex Minorants of Random Walks and Brownian Motions Statistical Properties of Convex Minorants of Random Walks and Brownian Motions

2000-04-20

arxiv.org/abs/math/0004131v3

Mathematics

Probability

withdrawn

Scientific paper

This paper calculates several useful statistical properties of the convex minorant process generated by random walk processes. In particular, we calculate the statistics of the longest segment in the convex minorant of a random walk of a given length. In addition, we calculate the probability that the convex minorant of a random walk of length N is composed of exactly m segments; we give an exact formula for the expected number of segments in the convex minorant. We obsevere that some of this analysis can be meaningful for the case of Brownian motion on finite intervals; we can calculate exact formulas for the density of the length of the longest segment in the convex minorant of Brownian motion on finite intervals.

Affiliated with

Also associated with

No associations

Rating

Statistical Properties of Convex Minorants of Random Walks and Brownian Motions 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 Statistical Properties of Convex Minorants of Random Walks and Brownian Motions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Statistical Properties of Convex Minorants of Random Walks and Brownian Motions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-144361