Convex hulls of stable random walks
Probability
2022-02-28 v1
Abstract
We consider convex hulls of random walks whose steps belong to the domain of attraction of a stable law in . We prove convergence of the convex hull in the space of all convex and compact subsets of , equipped with the Hausdorff distance, towards the convex hull spanned by a path of the limit stable L\'{e}vy process. As an application, we establish convergence of (expected) intrinsic volumes under some mild moment/structure assumptions posed on the random walk.
Cite
@article{arxiv.2202.12579,
title = {Convex hulls of stable random walks},
author = {Wojciech Cygan and Nikola Sandrić and Stjepan Šebek},
journal= {arXiv preprint arXiv:2202.12579},
year = {2022}
}
Comments
28 pages