The five-dimensional Bessel-process conjecture for the concave majorant of Brownian motion
The five-dimensional Bessel-process conjecture for the concave majorant of Brownian motion
Let be a standard one-dimensional Brownian motion, and let be its almost surely unique concave majorant on . Write for a five-dimensional Bessel process started from . The five-dimensional Bessel-process conjecture. The process
has the law of the radial part of a five-dimensional Brownian motion, equivalently, the law of .
The conjecture is motivated by the fact that has the same distribution as the one-dimensional marginal of at time , together with several further matching properties. The process is also conjectured in the paper to have the distribution of ; 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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