On the centre of mass of a random walk

DOI10.1016/J.SPA.2018.12.007zbMATH Open1448.60097arXiv1708.04470OpenAlexW2748665967WikidataQ128785072 ScholiaQ128785072MaRDI QIDQ2010495FDOQ2010495

Chak Hei Lo, Andrew R. Wade

Publication date: 27 November 2019

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

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 $d=1$.

Full work available at URL: https://arxiv.org/abs/1708.04470

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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)

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Cited In (8)

• On the center of mass of the elephant random walk
• Asymptotical study of a centrifugal random walk
• Iterated-logarithm laws for convex hulls of random walks with drift
• On the rate of convergence of the centering walk
• 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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