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Random Walks that Avoid Their Past Convex Hull


 
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1. Title Title of document Random Walks that Avoid Their Past Convex Hull
 
2. Creator Author's name, affiliation, country Omer Angel; Weizmann Institute of Science
 
2. Creator Author's name, affiliation, country Itai Benjamini; Weizmann Institute of Science
 
2. Creator Author's name, affiliation, country Bálint Virág; MIT
 
3. Subject Discipline(s)
 
3. Subject Keyword(s)
 
4. Description Abstract We explore planar random walk conditioned to avoid its past convex hull. We prove that it escapes at a positive lim sup speed. Experimental results show that fluctuations from a limiting direction are on the order of $n^{3/4}$. This behavior is also observed for the extremal investor, a natural financial model related to the planar walk.
 
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7. Date (YYYY-MM-DD) 2003-02-16
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1065
 
10. Identifier Digital Object Identifier 10.1214/ECP.v8-1065
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 8
 
12. Language English=en
 
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