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Zapiski Nauchnykh Seminarov POMI, 2021, Volume 505, Pages 244–281 (Mi znsl7134)  

Convex hulls of several multidimensional Gaussian random walks

J. Randon-Furlingabc, D. Zaporozhetsd

a Columbia University, Department of Mathematics, 2990 Broadway, New York, NY 10027, USA
b Université Paris 1 Panthéon Sorbonne, SAMM – CNRS, FP2M (CNRS FR2036), 90 rue de Tolbiac, 75013 Paris, France
c St. Petersburg State University
d St. Petersburg Department of Steklov Institute of Mathematics, Fontanka 27, 191011 St. Petersburg, Russia
References:
Abstract: We derive explicit formulae for the expected volume and the expected number of facets of the convex hull of several multidimensional Gaussian random walks in terms of the Gaussian persistence probabilities. Special cases include the already known results about the convex hull of a single Gaussian random walk and the $d$-dimensional Gaussian polytope with or without the origin.
Key words and phrases: average number of facets, Blaschke–Petkantschin formula, Sparre Andersen theorem, convex hull, expected volume, facet probability, Gaussian vectors, persistence probability, random polytope, random walk.
Funding agency Grant number
Foundation for the Development of Theoretical Physics and Mathematics BASIS
Russian Foundation for Basic Research 20-51-12004
Ministry of Science and Higher Education of the Russian Federation 075-15-2019-1619
Columbia University Alliance Program
This work was supported by the Foundation for the Advancement of Theoretical Physics and Mathematics “BASIS”. The work of DZ funded by RFBR and DFG according to the research project No. 20-51-12004. JRFs research at Columbia University was supported by the Alliance Program and by Ministry of Science and Higher Education of the Russian Federation, agreement No. 075-15-2019-1619.
Received: 13.11.2021
Document Type: Article
UDC: 519.2
Language: English
Citation: J. Randon-Furling, D. Zaporozhets, “Convex hulls of several multidimensional Gaussian random walks”, Probability and statistics. Part 31, Zap. Nauchn. Sem. POMI, 505, POMI, St. Petersburg, 2021, 244–281
Citation in format AMSBIB
\Bibitem{RanZap21}
\by J.~Randon-Furling, D.~Zaporozhets
\paper Convex hulls of several multidimensional Gaussian random walks
\inbook Probability and statistics. Part~31
\serial Zap. Nauchn. Sem. POMI
\yr 2021
\vol 505
\pages 244--281
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl7134}
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  • https://www.mathnet.ru/eng/znsl/v505/p244
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