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

Author:

Pitman Jim,Ross Nathan

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Reference29 articles.

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2. Abramson, J., Pitman, J.: Concave majorants of random walks and related Poisson processes. Combin. Probab. Comput. (2010, to appear). http://arxiv.org/abs/1011.3262

3. Balabdaoui F., Pitman J.: The distribution of the maximal difference between Brownian bridge and its concave majorant. Bernoulli 17(1), 466–483 (2011)

4. Bass, R.F.: Markov processes and convex minorants. In: Seminar on Probability, XVIII. Lecture Notes in Math., vol. 1059, pp. 29–41. Springer, Berlin (1984)

5. Bertoin J.: Lévy Processes. Cambridge Tracts in Mathematics, vol. 121. Cambridge University Press, Cambridge (1996)

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