The convex minorant of a Levy process

The convex minorant of a Levy process

Oct 11, 2010, 02:30 PM - 04:00 PM | 736 Evans Hall | Happening As Scheduled
Gerónimo Uribe Bravo, UC Berkeley (Speaker)
This talk will be about a simple and explicit construction, involving randomizations of the uniform stick-breaking process, of the convex minorant of a fairly general Lévy process. This simple construction reveals an universal law for the ranked lengths of excursions of a Lévy process on the interval [0, 1]: the Poisson-Dirichlet distribution of parameter 1. Further applications...