AHL_2021__4__1163_0.pdf (951.24 kB)
Large deviations of convex hulls of planar random walks and Brownian motions
Version 2 2023-06-12, 09:47
Version 1 2023-06-09, 23:30
journal contribution
posted on 2023-06-12, 09:47 authored by Arseniy Akopyan, Vladislav VysotskiyVladislav VysotskiyWe prove large deviations principles (LDPs) for the perimeter and the area of the convex hull of a planar random walk with finite Laplace transform of its increments. We give explicit upper and lower bounds for the rate function of the perimeter in terms of the rate function of the increments. These bounds coincide and thus give the rate function for a wide class of distributions which includes the Gaussians and the rotationally invariant ones. For random walks with such increments, large deviations of the perimeter are attained by the trajectories that asymptotically align into line segments. However, line segments may not be optimal in general.Furthermore, we find explicitly the rate function of the area of the convex hull for random walks with rotationally invariant distribution of increments. For such walks, which necessarily have zero mean, large deviations of the area are attained by the trajectories that asymptotically align into half-circles. For random walks with non-zero mean increments, we find the rate function of the area for Gaussian walks with drift. Here the optimal limit shapes are elliptic arcs if the covariance matrix of increments is non-degenerate and parabolic arcs if otherwise. The above results on convex hulls of Gaussian random walks remain valid for convex hulls of planar Brownian motions of all possible parameters. Moreover, we extend the LDPs for the perimeter and the area of convex hulls to general Lévy processes with finite Laplace transform.
History
Publication status
- Published
File Version
- Published version
Journal
Annales Henri LebesgueISSN
2644-9463Publisher
ENS RennesExternal DOI
Volume
4Page range
1163-1201Department affiliated with
- Mathematics Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2021-04-08First Open Access (FOA) Date
2021-04-08First Compliant Deposit (FCD) Date
2021-04-01Usage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC