Non-Markovianity of $2K-B$ and a degeneration

Abstract

We study the process of $2K-B$, where $B$ is a standard one-dimensional Brownian motion and $K$ is its concave majorant. In light of Pitman's $2M-B$ theorem, it was recently conjectured by Ouaki and Pitman \cite{OP} that $2K-B$ has the law of the BES(5) process. The two processes share properties such as Brownian scaling, time inversion and quadratic variation, and the same one point distribution and infinitesimal generator, among many other evidences; and it remains to prove that $2K-B$ is Markovian. However, we show that this conjecture is false. To better understand the similarity between these two processes, we study a degeneration of $2K-B$. We show it is a mixture of BES(3), and get other properties including multiple points distribution, infinitesimal generator, and path decomposition at future infimum. We also further investigate the Markovian structure and the filtrations of $2K-B,B$ and $K$.

arXiv comment24 pages, 5 figures

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