Markovian structure in the concave majorant of Brownian motion

DOI10.1214/22-EJP769zbMath1492.60230arXiv2105.11042OpenAlexW3165874278MaRDI QIDQ2144338

Mehdi Ouaki, Jim W. Pitman

Publication date: 13 June 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.11042

zbMATH Keywords

Brownian motionpath decompositionconvex minorant

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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