Excursions and path functionals for stochastic processes with asymptotically zero drifts

DOI10.1016/J.SPA.2013.02.001MaRDI QIDQ2444628zbMATH OpenOpenAlexFDO

Authors Ostap Hryniv, Mikhail V. Menshikov, Andrew R. Wade

Publication date 10 April 2014

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

Full work available at URL https://arxiv.org/abs/1208.0620

zbMATH Keywords

additive functionalscentrally biased random walkcentre of massexcursionsLamperti's problemmaximumpassage timepath functionalspath integral

Mathematics Subject Classification ID

Strong limit theorems (60F15) Sample path properties (60G17) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Local time and additive functionals (60J55) Statistical mechanics of polymers (82D60)

Abstract: We study discrete-time stochastic processes $(X_t)$ on $[0,infty)$ with asymptotically zero mean drifts. Specifically, we consider the critical (Lamperti-type) situation in which the mean drift at $x$ is about $c/x$. Our focus is the recurrent case (when $c$ is not too large). We give sharp asymptotics for various functionals associated with the process and its excursions, including results on maxima and return times. These results include improvements on existing results in the literature in several respects, and also include new results on excursion sums and additive functionals of the form $su{m}_{sleqt}{X}_s^{a}lpha$, $alpha>0$. We make minimal moments assumptions on the increments of the process. Recently there has been renewed interest in Lamperti-type process in the context of random polymers and interfaces, particularly nearest-neighbour random walks on the integers; some of our results are new even in that setting. We give applications of our results to processes on the whole of $R$ and to a class of multidimensional `centrally biased' random walks on $R^d$; we also apply our results to the simple harmonic urn, allowing us to sharpen existing results and to verify a conjecture of Crane et al.

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Cited in

(8)

• Extreme value statistics of positive recurrent centrally biased random walks
• Non-homogeneous random walks with stochastic resetting: an application to the Gillis model
• Anomalous recurrence properties of many-dimensional zero-drift random walks
• Exploring the Gillis model: a discrete approach to diffusion in logarithmic potentials
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• On a maximum of some random walk on lattice of half line
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