On the centre of mass of a random walk

DOI10.1016/J.SPA.2018.12.007MaRDI QIDQ2010495zbMATH OpenOpenAlexWikidataFDO

Authors Chak Hei Lo, Andrew R. Wade

Publication date 27 November 2019

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

Full work available at URL https://arxiv.org/abs/1708.04470, http://dro.dur.ac.uk/26959/1/26959.pdf

zbMATH Keywords

random walkrate of escapelocal central limit theoremtime-averagebarycentrecentre of massrecurrence classification

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

Abstract: For a random walk $S_n$ on $mathbb{R}^d$ we study the asymptotic behaviour of the associated centre of mass process $G_n=n^{-1}su{m}_{i=1}^n{S}_i$. 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 $dgeq2$. 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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Cited in

(8)

• On the center of mass of the elephant random walk
• Asymptotical study of a centrifugal random walk
• On the rate of convergence of the centering walk
• Iterated-logarithm laws for convex hulls of random walks with drift
• Analysis of the smoothly amnesia-reinforced multidimensional elephant random walk
• Asymptotic analysis of random walks on ice and graphite
• Long time asymptotics of non-symmetric random walks on crystal lattices
• Strong transience for one-dimensional Markov chains with asymptotically zero drifts

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