Noise reinforcement for Lévy processes

DOI10.1214/19-AIHP1037MaRDI QIDQ2227484zbMATH OpenFDO

Authors Jean Bertoin

Publication date 15 February 2021

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

Full work available at URL https://arxiv.org/abs/1810.08364, https://projecteuclid.org/euclid.aihp/1593137326

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)

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.

Recommendations

• On a class of random walks with reinforced memory
• Universality of noise reinforced Brownian motions
• Reinforced random walks under memory lapses
• Scaling exponents of step-reinforced random walks
• On the local times of noise reinforced Bessel processes

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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
• Reinforced random walks under memory lapses
• Noise reinforced Lévy processes: Lévy-Itô decomposition and applications
• The enhanced strong invariance principle for the elephant random walk
• Strong limit theorems for step-reinforced random walks
• Joint invariance principles for random walks with positively and negatively reinforced steps
• On the local times of noise reinforced Bessel processes

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