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Dirichlet random walks

This article provides tools for the study of the Dirichlet random walk in $\mathbb{R}^d$. By this we mean the random variable $W=X_1Θ_1+\cdots+X_nΘ_n$ where $X=(X_1,\ldots,X_n) \sim \mathcal{D}(q_1,\ldots,q_n)$ is Dirichlet distributed and where $Θ_1,\ldots Θ_n$ are iid, uniformly distributed on the unit sphere of $\mathbb{R}^d$ and independent of $X.$ In particular we compute explicitely in a number of cases the distribution of $W.$ Some of our results appear already in the literature, in particular in the papers by Gérard Le Caër (2010, 2011). In these cases, our proofs are much simpler from the original ones, since we use a kind of Stieltjes transform of $W$ instead of the Laplace transform: as a consequence the hypergeometric functions replace the Bessel functions. A crucial ingredient is a particular case of the classical and non trivial identity, true for $0\leq u\leq 1/2$:$$_2F_1(2a,2b;a+b+\frac{1}{2};u)= \_2F_1(a,b;a+b+\frac{1}{2};4u-4u^2).$$ We extend these results to a study of the limits of the Dirichlet random walks when the number of added terms goes to infinity, interpreting the results in terms of an integral by a Dirichlet process. We introduce the ideas of Dirichle