Large deviations for the local fluctuations of random walks

DOI10.1016/J.SPA.2011.06.004MaRDI QIDQ719376zbMATH OpenOpenAlexFDO

Publication date 10 October 2011

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

Full work available at URL https://arxiv.org/abs/1004.3713, https://hal.inria.fr/hal-00844817/file/1004.3713v2.pdf

large deviations random walks normal numbers hyperbolic dynamics mixing processes random coverings

Large deviations (60F10) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Sample path properties (60G17)

Abstract: We establish large deviations properties valid for almost every sample path of a class of stationary mixing processes

(X_{1}, ..., X_{n}, ...)

. These properties are inherited from those of

S_{n} = s u m_{i = 1}^{n} X_{i}

and describe how the local fluctuations of almost every realization of

S_{n}

deviate from the almost sure behavior. These results apply to the fluctuations of Brownian motion, Birkhoff averages on hyperbolic dynamics, as well as branching random walks. Also, they lead to new insights into the "randomness" of the digits of expansions in integer bases of Pi. We formulate a new conjecture, supported by numerical experiments, implying the normality of Pi.

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