Remarks on the Convex Minorant of Brownian Motion
Recently Groeneboom  studied the concave majorant process of a Brownian motion (Bt, t ≤ O). The purpose of this note is to take a fresh look at some of Groeneboom’s results in the context of path decompositions of Williams , and to give a simple new description of this concave majorant process.
KeywordsBrownian Motion Time Inversion Poisson Point Process Independent Increment Bessel Process
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- 1.P. Groeneboom. The concave majorant of Brownian motion. Technical Report No. 6, Dept. Statistics, Univ. of Washington, Seattle. To appear in Ann. Probab.Google Scholar