Noise reinforcement for Lévy processes

DOI10.1214/19-AIHP1037zbMATH Open1477.60069arXiv1810.08364MaRDI QIDQ2227484FDOQ2227484

Jean Bertoin

Publication date: 15 February 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In a step reinforced random walk, at each integer time and with a fixed probability p $in$ (0, 1), the walker repeats one of his previous steps chosen uniformly at random, and with complementary probability 1 -- p, the walker makes an independent new step with a given distribution. Examples in the literature include the so-called elephant random walk and the shark random swim. We consider here a continuous time analog, when the random walk is replaced by a L{'e}vy process. For sub-critical (or admissible) memory parameters p < p c , where p c is related to the Blumenthal-Getoor index of the L{'e}vy process, we construct a noise reinforced L{'e}vy process. Our main result shows that the step-reinforced random walks corresponding to discrete time skeletons of the L{'e}vy process, converge weakly to the noise reinforced L{'e}vy process as the time-mesh goes to 0.

Full work available at URL: https://arxiv.org/abs/1810.08364

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zbMATH Keywords

Blumenthal-Getoor indexpreferential attachmentreinforcementYule-Simon distributionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sums of independent random variables; random walks (60G50)

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Cited In (12)

• Universality of noise reinforced Brownian motions
• Counterbalancing steps at random in a random walk
• Gaussian fluctuation for superdiffusive elephant random walks
• Multidimensional walks with random tendency
• Functional limit theorems for the multi-dimensional elephant random walk
• Scaling exponents of step-reinforced random walks
• Noise reinforced Lévy processes: Lévy-Itô decomposition and applications
• Reinforced random walks under memory lapses
• The enhanced strong invariance principle for the elephant random walk
• Strong limit theorems for step-reinforced random walks
• On the local times of noise reinforced Bessel processes
• Joint invariance principles for random walks with positively and negatively reinforced steps

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