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The greatest convex minorant of Brownian motion, meander, and bridge
convex minorant Brownian motion
2010/11/19
This article contains both a point process and a sequential description of the greatest convex minorant of Brownian motion on a finite interval. We use these descriptions to provide new analysis of v...
We offer a unified approach to the theory of convex minorants of L\'evy processes with continuous distributions. New results include simple and explicit constructions of the convex minorant of a L\'e...