Markovian structure in the concave majorant of Brownian motion

Mehdi Ouaki, Jim Pitman

Published 2021-05-23Version 1

The purpose of this paper is to highlight some hidden Markovian structure of the concave majorant of the Brownian motion. Several distributional identities are implied by the joint law of a standard one-dimensional Brownian motion $B$ and its almost surely unique concave majorant $K$ on $[0,\infty)$. In particular, the one-dimensional distribution of $2 K_t - B_t$ is that of $R_5(t)$, where $R_5$ is a $5-$dimensional Bessel process with $R_5(0) = 0$. The process $2K-B$ shares a number of other properties with $R_5$, and we conjecture that it may have the distribution of $R_5$. We also describe the distribution of the convex minorant of a three-dimensional Bessel process with drift.