Bootstrap random walks

DOI10.1016/J.SPA.2015.11.016MaRDI QIDQ271849zbMATH OpenOpenAlexFDO

Authors Andrea Collevecchio, K. Hamza, Meng Shi

Publication date 20 April 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.02840

zbMATH Keywords

Brownian motionfunctional limit theoremrandom walks

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Abstract: Consider a one dimensional simple random walk $X=(X_n{)}_{ngeq0}$. We form a new simple symmetric random walk $Y=(Y_n{)}_{ngeq0}$ by taking sums of products of the increments of $X$ and study the two-dimensional walk $(X,Y)=((X_n,Y_n){)}_{ngeq0}$. We show that it is recurrent and when suitably normalised converges to a two-dimensional Brownian motion with independent components; this independence occurs despite the functional dependence between the pre-limit processes. The process of recycling increments in this way is repeated and a multi-dimensional analog of this limit theorem together with a transience result are obtained. The construction and results are extended to include the case where the increments take values in a finite set (not necessarily $-1,+1$).

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Cites work

• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Probability with Martingales

Cited in

(5)

• Invariance principle for biased bootstrap random walks
• Continuity of utility maximization under weak convergence
• Limit theorems and ergodicity for general bootstrap random walks
• Noise sensitivity and exceptional times of transience for a simple symmetric random walk in one dimension
• Strong convergence to two-dimensional alternating Brownian motion processes

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