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Random Walks in the High-Dimensional Limit I: The Wiener Spiral

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arxiv 2211.08538 v2 pith:6QAAQUI4 submitted 2022-11-15 math.PR

classification math.PR
keywords randomlimitdistanceresultsspacespiralwalkswiener
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abstract

We prove limit theorems for random walks with $n$ steps in the $d$-dimensional Euclidean space as both $n$ and $d$ tend to infinity. One of our results states that the path of such a random walk, viewed as a compact subset of the infinite-dimensional Hilbert space $\ell^2$, converges in probability in the Hausdorff distance up to isometry and also in the Gromov-Hausdorff sense to the Wiener spiral, as $d,n\to\infty$. Another group of results describes various possible limit distributions for the squared distance between the random walker at time $n$ and the origin.

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  1. On the first hitting time of a high-dimensional orthant

    math.PR 2024-11 reject novelty 8.0 of 10

    The principal Dirichlet eigenvalue of the sphere minus a high-dimensional orthant decays like a polynomial times 2^{-d}, making the survival exponent of d Brownian particles vanish as d grows.

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