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.
Citation
Jean Bertoin. "The Convex Minorant of the Cauchy Process." Electron. Commun. Probab. 5 51 - 55, 2000. https://doi.org/10.1214/ECP.v5-1017
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