Large and moderate deviations for intersection local times (Q1424401)

The authors study the large and moderate deviations for the intersection local times generated by local times of independent Brownian motions and symmetric random walks. Let \(W_1, \ldots, W_m\) be independent 1-dimensional (standard) Brownian motions with local times \(L_1(t, x), \ldots, L_m(t, x)\) \((t \geq 0, x \in {\mathbb R})\), respectively. Their Theorem 1.1 shows that \[ \lim_{\lambda \to \infty} \lambda^{-2/(mp-1)}\, \log \text{ P} \Big\{\int_{-\infty}^\infty \prod_{j=1}^m L_j^p(1, x)\, dx \geq \lambda\Big\} = - C_2(m, p), \tag{1} \] where \(0 < C_2(m, p) < \infty\) is an explicit constant. This generalizes the large deviation principle of \textit{U. Mansmann} [Stochastics Stochastics Rep. 34, 93--125 (1991; Zbl 0726.60021)] for the \(L_2\)-norm of the Brownian local time; and coincides with a result of \textit{M. Csörgő}, \textit{Z. Shi} and \textit{M. Yor} [Bernoulli 5, 1035--1058 (1999; Zbl 0960.60023)] for the self-intersection local times of the Brownian bridges. The key idea of proving (1) is to embed the Brownian local times into the Banach space \({\mathcal L}^p({\mathbb R})\) and to use a Feynman-Kac type large deviation result for the Brownian occupation times. Consider the random walk \(\{S(n)\}_{n \geq 1}\), where \(S(n) = \sum_{k=1}^n X_k\) and \(\{X_k\}\) is a sequence of i.i.d. integer-valued symmetric random variables with \(\sigma^2 = \text{ E}(X_1^2) < \infty\). Define the local time \(\ell (n, x)\) of \(\{S(n)\}_{n \geq 1}\) by \(\ell (n, x) = \sum_{k=1}^n I_{\{S(k) = x\}}. \) Let \(\{S_1(n)\}_{n \geq 1}, \ldots, \{S_m(n)\}_{n \geq 1}\) be \(m\) independent copies of \(\{S(n)\}_{n \geq 1}\) with local times \(\ell_1(n, x), \ldots,\) \(\ell_m(n, x)\). The authors prove that for any integer \(m \geq 1\) and \(p > 0\) such that \(mp>1\), \[ n^{-(mp+1)/2}\sum_{x \in {\mathbb Z}} \prod_{j=1}^m \ell_j^p(n, x)\;{\rightarrow}^d \;\sigma^{(mp-1)} \int_{-\infty}^\infty \prod_{j=1}^m L_j^p(1, x) \,dx \tag{2} \] and for any sequence \(\{b_n\}\) satisfying \(b_n \to \infty\) and \(b_n/n \to 0\), \[ \lim_{n \to \infty} {1 \over {b_n}} \log \text{ P} \Big\{ \sum_{x \in {\mathbb Z}} \prod_{j=1}^m \ell_j^p(n, x)\geq n^{(mp+1)/2} b_n^{(mp-1)/2} \Big\} = - \sigma^2 C_2(m, p). \tag{3} \] As applications of (1) and (3), the authors establish laws of the iterated logarithm for \(\int_{-\infty}^\infty \prod_{j=1}^m L_j^p(1, x) \,dx\) and \(\sum_{x \in {\mathbb Z}} \prod_{j=1}^m \ell_j^p(n, x)\).