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

13 Aug 2020 Alsmeyer Gerold Kabluchko Zakhar Marynych Alexander Vysotsky Vladislav

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... (read more)

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  • PROBABILITY