Limit theorems for random walks that avoid bounded sets, with applications to the largest gap problem

DOI10.1016/J.SPA.2014.11.017zbMATH Open1310.60052arXiv1312.6491OpenAlexW2040865966MaRDI QIDQ2018563FDOQ2018563

Vladislav V. Vysotsky

Publication date: 24 March 2015

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

Abstract: Consider a centred random walk in dimension one with a positive finite variance $sigm{a}^2$, and let $a{u}_B$ be the hitting time for a bounded Borel set $B$ with a non-empty interior. We prove the asymptotic $P_x(a{u}_B>n)simsqrt2/pisigm{a}^{-1}{V}_B(x)n^{-1/2}$ and provide an explicit formula for the limit $V_B$ as a function of the initial position $x$ of the walk. We also give a functional limit theorem for the walk conditioned to avoid $B$ by the time $n$. As a main application, consider the case that $B$ is an interval and study the size of the largest gap $G_n$ (maximal spacing) within the range of the walk by the time $n$. We prove a limit theorem for $G_n$, which is shown to be of the constant order, and describe its limit distribution. In addition, we prove an analogous result for the number of non-visited sites within the range of an integer-valued random walk.

Full work available at URL: https://arxiv.org/abs/1312.6491

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zbMATH Keywords

random walkharmonic functionhitting timelimit theoremsmaximal spacing

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17)

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Cited In (10)

• Extreme order statistics of random walks
• Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
• Lévy processes with finite variance conditioned to avoid an interval
• Limit theorems for random walks with absorption
• The boundary of the range of a random walk and the Følner property
• Estimates of the largest disc covered by a random walk
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• Walsh's Brownian motion and Donsker scaling limits of perturbed random walks
• Random Walks and Evolving Sets: Faster Convergences and Limitations
• Stable processes conditioned to avoid an interval

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