Recurrence of multidimensional persistent random walks. Fourier and series criteria

DOI10.3150/18-BEJ1098zbMATH Open1466.60089OpenAlexW2772859386MaRDI QIDQ2295019FDOQ2295019

Authors Peggy Cénac, Basile de Loynes, Yoann Offret, Arnaud Rousselle 

Publication date 12 February 2020

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.02999

zbMATH Keywords

Markov operatorsMarkov random walksconcentration functionsvariable length Markov chainpersistent random walksFourier and series recurrence criteriaFourier perturbations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

Abstract: The recurrence features of persistent random walks built from variable length Markov chains are investigated. We observe that these stochastic processes can be seen as L{'e}vy walks for which the persistence times depend on some internal Markov chain: they admit Markov random walk skeletons. A recurrence versus transience dichotomy is highlighted. We first give a sufficient Fourier criterion for the recurrence, close to the usual Chung-Fuchs one, assuming in addition the positive recurrence of the driving chain and a series criterion is derived. The key tool is the Nagaev-Guivarc'h method. Finally, we focus on particular two-dimensional persistent random walks, including directionally reinforced random walks, for which necessary and sufficient Fourier and series criteria are obtained. Inspired by cite{Rainer2007}, we produce a genuine counterexample to the conjecture of cite{Mauldin1996}. As for the one-dimensional situation studied in cite{PRWI}, it is easier for a persistent random walk than its skeleton to be recurrent but here the difference is extremely thin. These results are based on a surprisingly novel -- to our knowledge -- upper bound for the L{'e}vy concentration function associated with symmetric distributions.

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