The argmin process of random walks and Lévy processes

2016/10/19 by Jim Pitman, Wenpin Tang, Pitman, Jim +1
Mathematics · Economics, Econometrics and Finance · #Stochastic processes and statistical mechanics #Mathematical Dynamics and Fractals #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1610.05869

Abstract

In this paper we consider the argmin process of random walks and Lévy processes. We prove that they enjoy the Markov property, and provide their transition kernels in some special cases.

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