Convex Minorants of Random Walks and Brownian Motion

DOI10.1137/S0040585X9797910XzbMath1034.60050MaRDI QIDQ4442854

Toufic M. Suidan

Publication date: 21 January 2004

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian motionrandom walkrandom permutationconvex minorant

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Related Items (6)

Markovian structure in the concave majorant of Brownian motion ⋮ The distribution of the maximal difference between a Brownian bridge and its concave majorant ⋮ The convex minorant of a Lévy process ⋮ Lipschitz minorants of Brownian motion and Lévy processes ⋮ The greatest convex minorant of Brownian motion, meander, and bridge ⋮ The Bohnenblust-Spitzer algorithm and its applications

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