Large deviations of convex hulls of planar random walks
Abstract
We prove large deviations principles 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, hence giving 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 of the convex hull are attained by the trajectories that asymptotically align into line segments but in general, line segments may not be optimal. 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 halfcircles. For random walks with nonzero mean increments, we found 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 nondegenerate and parabolic arcs if otherwise.
 Publication:

arXiv eprints
 Pub Date:
 June 2016
 arXiv:
 arXiv:1606.07141
 Bibcode:
 2016arXiv160607141A
 Keywords:

 Mathematics  Probability;
 60D05;
 60F10;
 60G50 (Primary);
 60G70;
 26B25 (Secondary)
 EPrint:
 We made minor changes and added Proposition 5