Electronic Communications in Probability

Electronic Communications in Probability > Vol. 8 (2003) > Paper 2

Random Walks that Avoid Their Past Convex Hull

Omer Angel, Weizmann Institute of Science
Itai Benjamini, Weizmann Institute of Science
Bálint Virág, MIT

Abstract
We explore planar random walk conditioned to avoid its past convex hull. We prove that it escapes at a positive lim sup speed. Experimental results show that fluctuations from a limiting direction are on the order of n^(3/4). This behavior is also observed for the extremal investor, a natural financial model related to the planar walk.

Full text: PDF

Pages: 6-16

Published on: February 16, 2003

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Electronic Communications in Probability. ISSN: 1083-589X