Kozma's centrally excited walk converges to a Euclidean ball

Abstract: A centrally excited random walk on ${\mathbb Z}<sup>d$ moves like simple random walk, except that its first step from each site has a drift of fixed size toward the origin. Kozma (2007) conjectured that after $n$ steps the visited set approximates a ball with radius of order $n^{ 1/(d+1)}$. We prove this in every dimension $d\geq2$ and show that the rescaled numbers of visits converge uniformly to a cone, which is the potential generated by the drift on a ball. The same argument shows that a drift opposite to a subgradient of a norm produces the ball of that norm. In the plane, the outer and inner radii of the visited set differ by at most $n<sup>{1/6}$ times a power of $\log n$, and the exponent $1/6$ cannot be lowered.