Convex hulls of random walks: conic intrinsic volumes approach
    
    
  
  
  
      
      
      
        
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 35, Tome 526 (2023), pp. 159-171
    
  
  
  
  
  
    
      
      
        
      
      
      
    Voir la notice de l'article provenant de la source Math-Net.Ru
            
              			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},
     publisher = {mathdoc},
     volume = {526},
     year = {2023},
     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 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/ZNSL_2023_526_a9/ LA - en ID - ZNSL_2023_526_a9 ER -
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/
