Ouaki–Pitman conjecture on the concave-majorant transform of Brownian motion

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Let BB be a one-dimensional Brownian motion on [0,)[0,\infty) and let KK be its almost surely existing concave majorant on [0,)[0,\infty). Ouaki–Pitman conjecture. The process 2KB2K-B has the law of the BES(5)\operatorname{BES}(5) process. This conjecture is the analogue for concave majorants of Pitman’s 2MB2M-B theorem, which identifies the corresponding transform using the running maximum with the BES(3)\operatorname{BES}(3) 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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