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

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posted on 2023-06-07, 07:43 authored by Gerold Alsmeyer, Zakhar Kabluchko, Alexander V Marynych, Vladislav VysotskiyVladislav Vysotskiy
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.

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Publication status

  • Published

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  • Published version

Journal

Electronic Journal of Probability

ISSN

1083-6489

Publisher

Institute of Mathematical Statistics

Issue

a105

Volume

25

Page range

1-22

Department affiliated with

  • Mathematics Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2020-08-07

First Open Access (FOA) Date

2020-09-07

First Compliant Deposit (FCD) Date

2020-09-07

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