How long is the convex minorant of a one-dimensional random walk?

DOI10.1214/20-EJP497zbMATH Open1459.60056arXiv1909.12322MaRDI QIDQ2201478FDOQ2201478

Gerold Alsmeyer, Vladislav V. Vysotsky, Zakhar Kabluchko, Alexander Marynych

Publication date: 29 September 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We prove distributional limit theorems for the length of the largest convex minorant of a one-dimensional random walk with independent identically distributed increments. Depending on the increment law, there are several regimes with different limit distributions for this length. Among other tools, a representation of the convex minorant of a random walk in terms of uniform random permutations is utilized.

Full work available at URL: https://arxiv.org/abs/1909.12322

zbMATH Keywords

random walkrandom permutationconvex minorant

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cited In (5)

• Convex Minorants of Random Walks and Brownian Motion
• Convex hulls of stable random walks
• Asymptotic shape of the concave majorant of a Lévy process
• Conic intrinsic volumes of Weyl chambers
• Large deviations of convex hulls of planar random walks and Brownian motions

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