The five-dimensional Bessel-process conjecture for the concave majorant of Brownian motion

Let B=(Bt)t0B=(B_t)_{t\geq 0} be a standard one-dimensional Brownian motion, and let K=(Kt)t0K=(K_t)_{t\geq 0} be its almost surely unique concave majorant on [0,)[0,\infty). Write R5R_5 for a five-dimensional Bessel process started from 00. The five-dimensional Bessel-process conjecture. The process

(2K(t)B(t))t0(2K(t)-B(t))_{t\geq 0}

has the law of the radial part of a five-dimensional Brownian motion, equivalently, the law of R5R_5.

The conjecture is motivated by the fact that 2K(1)B(1)2K(1)-B(1) has the same distribution as the one-dimensional marginal of R5R_5 at time 11, together with several further matching properties. The process is also conjectured in the paper to have the distribution of R5R_5; the source provides no resolution.

Sources & referencesView supporting material

Primary source

Mehdi Ouaki and Jim Pitman, “Markovian structure in the concave majorant of Brownian motion”, arXiv:2105.11042 (2022).

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