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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. 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

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.

UDC: 519.2

Received: 13.11.2021

Language: English



© Steklov Math. Inst. of RAS, 2024