Online minimum search for Brownian motion and the Cauchy process: Multiple approaches

Abstract

The distribution for the minimum of Brownian motion or the Cauchy process is well-known using the reflection principle. Here we consider the problem of finding the sample-by-sample minimum, which we call the online minimum search. We consider the possibility of the golden search method, but we show quantitatively that the bisection method is more efficient. In the bisection method there is a hierarchical parameter, which tunes the depth to which each sub-search is conducted, somewhat similarly to how a depth-first search works to generate a topological ordering on nodes. Finally, we consider the possibility of using harmonic measure, which is a novel idea that has so far been unexplored.