Renewal structure of the Brownian taut string

Emmanuel Schertzer

Stochastic Processes and their Applications, 2018, vol. 128, issue 2, 487-504

Abstract: In a recent paper Lifshits and Setterqvist (2015), M. Lifshits and E. Setterqvist introduced the taut string of a Brownian motion w, defined as the function of minimal quadratic energy on [0,T] staying in a tube of fixed width h>0 around w. The authors showed a Law of Large Number (L.L.N.) for the quadratic energy spent by the string for a large time T.

Date: 2018
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DOI: 10.1016/j.spa.2017.05.004

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