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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 Rd\mathbb{R}^d. We prove convergence of the convex hull in the space of all convex and compact subsets of Rd\mathbb{R}^d, 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.

Keywords

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}
}

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28 pages