Maximal Increments of Local Time of a Random Walk
Jain, Naresh C. ; Pruitt, William E.
Ann. Probab., Tome 15 (1987) no. 4, p. 1461-1490 / Harvested from Project Euclid
Let $(S_j)$ be a lattice random walk, i.e., $S_j = X_1 + \cdots + X_j$, where $X_1, X_2,\ldots$ are independent random variables with values in $\mathbb{Z}$ and common nondegenerate distribution $F$. Let $\{t_n\}$ be a nondecreasing sequence of positive integers, $t_n \leq n$, and $L^\ast_n = \max_{0\leq j\leq n-t_n}(L_{j+t_n} - L_j)$, where $L_n = \sum^n_{j=1}1_{\{0\}}(S_j)$, the number of times zero is visited by the random walk by time $n$. Assuming that the random walk is recurrent and satisfies a more general condition than being in the domain of attraction of a stable law of index $\alpha > 1$, the following results are obtained: (i) Constants $\beta_n$ are defined such that $\lim \sup L^\ast_n\beta^{-1}_n = 1$ a.s. (ii) If $\lim \sup nt^{-1}_n = \infty$, then constants $\gamma_n$ are defined such that $\lim \inf L^\ast_n\gamma^{-1}_n = 1$ a.s. If $\lim \sup nt^{-1}_n < \infty$, then $\lim \inf(L^\ast_n/\gamma'_n) = 0$ or $\infty$ for any choice of $\gamma'_n$ and a simple test is given to determine which is the case. (iii) If $\lim \log(nt^{-1}_n)/\log_2n = \infty$, then $\beta_n \sim \gamma_n$ and $\lim L^\ast_n\beta^{-1}_n = 1$ a.s. Also, the normalizers are found more explicitly in the domain of attraction case.
Publié le : 1987-10-14
Classification:  Lattice random walk,  increments of local time,  $\lim \sup$ behavior,  $\lim \inf$ behavior,  60J15,  60J55
@article{1176991987,
     author = {Jain, Naresh C. and Pruitt, William E.},
     title = {Maximal Increments of Local Time of a Random Walk},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1461-1490},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991987}
}
Jain, Naresh C.; Pruitt, William E. Maximal Increments of Local Time of a Random Walk. Ann. Probab., Tome 15 (1987) no. 4, pp.  1461-1490. http://gdmltest.u-ga.fr/item/1176991987/