Convex hulls of random walks: conic intrinsic volumes approach
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 35, Tome 526 (2023), pp. 159-171 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice du chapitre de livre

Sparre Andersen discovered a celebrated distribution-free formula for the probability of a random walk remaining positive up to a moment $n$. Kabluchko et al. expanded on this result by calculating the absorption probability for the convex hull of multidimensional random walks. They approached this by transforming the problem into a geometric one, which they then solved using Zaslavsky's theorem. We propose a completely different approach that allows us to directly derive the generating function for the absorption probability. The cornerstone of our method is the Gauss–Bonnet formula for polyhedral cones.
@article{ZNSL_2023_526_a9,
     author = {F. Petrov and J. Randon-Furling and D. Zaporozhets},
     title = {Convex hulls of random walks: conic intrinsic volumes approach},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {159--171},
     year = {2023},
     volume = {526},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a9/}
}
TY  - JOUR
AU  - F. Petrov
AU  - J. Randon-Furling
AU  - D. Zaporozhets
TI  - Convex hulls of random walks: conic intrinsic volumes approach
JO  - Zapiski Nauchnykh Seminarov POMI
PY  - 2023
SP  - 159
EP  - 171
VL  - 526
UR  - http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a9/
LA  - en
ID  - ZNSL_2023_526_a9
ER  - 
%0 Journal Article
%A F. Petrov
%A J. Randon-Furling
%A D. Zaporozhets
%T Convex hulls of random walks: conic intrinsic volumes approach
%J Zapiski Nauchnykh Seminarov POMI
%D 2023
%P 159-171
%V 526
%U http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a9/
%G en
%F ZNSL_2023_526_a9
F. Petrov; J. Randon-Furling; D. Zaporozhets. Convex hulls of random walks: conic intrinsic volumes approach. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 35, Tome 526 (2023), pp. 159-171. http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a9/

[1] D. Amelunxen, M. Lotz, “Intrinsic volumes of polyhedral cones: a combinatorial perspective”, Discrete Comput. Geom., 58:2 (2017), 371–409 | DOI | MR | Zbl

[2] Z. Kabluchko, V. Vysotsky, D. Zaporozhets, “Convex hulls of random walks, hyperplane arrangements, and Weyl chambers”, Geom. Funct. Anal., 27:4 (2017), 880–918 | DOI | MR | Zbl

[3] Z. Kabluchko, V. Vysotsky, D. Zaporozhets, “A multidimensional analogue of the arcsine law for the number of positive terms in a random walk”, Bernoulli, 25:1 (2019), 521–548 | DOI | MR | Zbl

[4] M. A. Perles, G. C. Shephard, “Angle sums of convex polytopes”, Math. Scand., 21 (1967), 199–218 | DOI | MR | Zbl

[5] R. Schneider, W. Weil, Stochastic and Integral Geometry, Probability and its Applications (New York), Springer, Berlin, 2008 | DOI | MR | Zbl

[6] E. Sparre Andersen, “On sums of symmetrically dependent random variables”, Skand. Aktuarietidskr., 36 (1953), 123–138 | MR

[7] E. Sparre Andersen, “On the number of positive sums of random variables”, Skand. Aktuarietidskr., 1949 (1949), 27–36 | MR | Zbl

[8] E. Sparre Andersen, “On the fluctuations of sums of random variables”, Math. Scand., 1 (1953), 263–285 | DOI | MR | Zbl

[9] T. Zaslavsky, Facing up to arrangements: Face-count formulas for partitions of space by hyperplanes, Mem. Amer. Math. Soc., 154, Providence, RI, 1975 | MR | Zbl