Ouaki–Pitman conjecture on the concave-majorant transform of Brownian motion
Ouaki–Pitman conjecture on the concave-majorant transform of Brownian motion
Let be a one-dimensional Brownian motion on and let be its almost surely existing concave majorant on . Ouaki–Pitman conjecture. The process has the law of the process. This conjecture is the analogue for concave majorants of Pitman’s theorem, which identifies the corresponding transform using the running maximum with the process. The source gives no resolution of the conjecture.
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Sources & referencesView supporting material
Primary source
Yang Chu and Lingfu Zhang, “Non-Markovianity of 2K-B and a degeneration”, arXiv:2410.04051 (2026).
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