Exponential asymptotics and law of the iterated logarithm for intersection local times of random walks
Chen, Xia
Ann. Probab., Tome 32 (2004) no. 1A, p. 3248-3300 / Harvested from Project Euclid
Let α([0,1]p) denote the intersection local time of p independent d-dimensional Brownian motions running up to the time 1. Under the conditions p(d−2)n=#{(k1,…,kp)∈[1,n]p;S1(k1)=⋯=Sp(kp)} run by the independent, symmetric, ℤd-valued random walks S1(n), …,Sp(n). Our results apply to the law of the iterated logarithm. Our approach is based on Feynman–Kac type large deviation, time exponentiation, moment computation and some technologies along the lines of probability in Banach space. As an interesting coproduct, we obtain the inequality \[\bigl({\mathbb{E}}I_{n_{1}+\cdots +n_{a}}^{m}\bigr)^{1/p}\le \sum_{\mathop{k_{1}+\cdots +k_{a}=m}\limits_{k_{1},\ldots,k_{a}\ge 0}}{\frac{m!}{k_{1}!\cdots k_{a}!}}\bigl({\mathbb{E}}I_{n_{1}}^{k_{1}}\bigr)^{1/p}\cdots \bigl({\mathbb{E}}I_{n_{a}}^{k_{a}}\bigr)^{1/p}\] in the case of random walks.
Publié le : 2004-10-14
Classification:  Intersection local time,  large (moderate) deviations,  law of the iterated logarithm,  Gagliardo–Nirenberg inequality,  60B12,  60F10,  60F15,  60G50,  60J55,  60J65
@article{1107883353,
     author = {Chen, Xia},
     title = {Exponential asymptotics and law of the iterated logarithm for intersection local times of random walks},
     journal = {Ann. Probab.},
     volume = {32},
     number = {1A},
     year = {2004},
     pages = { 3248-3300},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1107883353}
}
Chen, Xia. Exponential asymptotics and law of the iterated logarithm for intersection local times of random walks. Ann. Probab., Tome 32 (2004) no. 1A, pp.  3248-3300. http://gdmltest.u-ga.fr/item/1107883353/