Level crossings of a two-parameter random walk (Q2485831): Difference between revisions

Let \(\{X_{i,j}, i,j=1,2,\ldots\}\) be independent identically distributed random variables with \(P\{X_{i,j}=1\}=P\{X_{i,j}=-1\}=1/2\). Set \(S_{m,n}:=\sum_{i=1}^n\sum_{j=1}^n X_{i,j}\), \(m,n=1,2,\ldots\) and \(S_{m,n}:=0\) whenever \(mn=0\). A lattice point \((i,j)\) is called a (vertical) crossing for the random walk \(S\) if \(S_{i,j}S_{i,j+1}<0\). Let \(Z(N)\) be the total number of crossings of the random walk in the first \(N\times N\) steps. The authors prove that with probability one \(Z(N)=N^{3/2+o(1)}\) as \(N\to\infty\). The key point of their proof is using a strong approximation of \(Z(N)\) by the crossing local time \(C(x; s,t)\) of a Brownian sheet \(\{W(s,t), s,t\geq 0\}\), where \(C(x; s,t):=\int_0^s \sqrt{u}L_u(x;t)du\), and for any fixed \(u>0\), \(\{L_u(x;t), t\geq 0\}\) denotes the local time at \(x\) of the process \(t\mapsto W(s,t)\).