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The Convex Minorant of the Cauchy Process


 
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1. Title Title of document The Convex Minorant of the Cauchy Process
 
2. Creator Author's name, affiliation, country Jean Bertoin; Universite Pierre et Marie Curie
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Cauchy process, Gamma process, convex minorant.
 
3. Subject Subject classification 60J30, 60J25.
 
4. Description Abstract We determine the law of the convex minorant $(M_s, s\in [0,1])$ of a real-valued Cauchy process on the unit time interval, in terms of the gamma process. In particular, this enables us to deduce that the paths of $M$ have a continuous derivative, and that the support of the Stieltjes measure $dM'$ has logarithmic dimension one.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2000-01-20
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1017
 
10. Identifier Digital Object Identifier 10.1214/ECP.v5-1017
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 5
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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