We determine the law of the convex minorant $(M_s, s\in [0,1])$ of a real-valued Cauchy process on the unit time interval, in terms of the gamma process. In particular, this enables us to deduce that the paths of $M$ have…
Fecha:
2000-01-01
Recurso:
Electronic communications in probability
CIC - Centro de Información y Conocimiento Johannes Gutenberg ®