On some random walk problems

Publication date 19 February 2018

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)

Abstract: In the first part of this thesis, we study a Markov chain on

m a t h b b R_{+} i m e s S

, where

m a t h b b R_{+}

is the non-negative real numbers and

S

is a finite set, in which when the

m a t h b b R_{+}

-coordinate is large, the

S

-coordinate of the process is approximately Markov with stationary distribution

p i_{i}

on

S

. Denoting by

m u_{i} (x)

the mean drift of the

m a t h b b R_{+}

-coordinate of the process at

(x, i) i n m a t h b b R_{+} i m e s S

, we give an exhaustive recurrence classification in the case where

s u m_{i} p i_{i} m u_{i} (x) o 0

, which is the critical regime for the recurrence-transience phase transition. If

m u_{i} (x) o 0

for all

i

, it is natural to study the Lamperti case where

m u_{i} (x) = O (1 / x)

; in that case the recurrence classification is known, but we prove new results on existence and non-existence of moments of return times. If

m u_{i} (x) o d_{i}

for

d_{i} e q 0

for at least some

i

, then it is natural to study the generalized Lamperti case where

m u_{i} (x) = d_{i} + O (1 / x)

. By exploiting a transformation which maps the generalized Lamperti case to the Lamperti case, we obtain a recurrence classification and an existence of moments result for the former. In the second part of the thesis, for a random walk

S_{n}

on

m a t h b b R^{d}

we study the asymptotic behaviour of the associated centre of mass process

G_{n} = n^{- 1} s u m_{i = 1}^{n} S_{i}

. For lattice distributions we give conditions for a local limit theorem to hold. We prove that if the increments of the walk have zero mean and finite second moment,

G_{n}

is recurrent if

d = 1

and transient if

d g e q 2

. In the transient case we show that

G_{n}

has diffusive rate of escape. These results extend work of Grill, who considered simple symmetric random walk. We also give a class of random walks with symmetric heavy-tailed increments for which

G_{n}

is transient in

d = 1

.

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