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

DOI10.1007/s00440-011-0385-0zbMath1255.60143arXiv1011.3073OpenAlexW1965403980MaRDI QIDQ714952

Nathan Ross, Jim W. Pitman

Publication date: 12 October 2012

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3073

zbMATH Keywords

Brownian motionpath decompositionsconvex minorant

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Brownian motion (60J65) Distribution theory (60E99)

Related Items (5)

Markovian structure in the concave majorant of Brownian motion ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ The convex minorant of a Lévy process ⋮ Some developments in the theory of shape constrained inference ⋮ Convex hulls of random walks and their scaling limits

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