Snakes and perturbed random walks

DOI10.1134/S0081543813060047MaRDI QIDQ2446212zbMATH OpenFDO

Authors Stanislav Volkov, Gopal K. Basak

Publication date 16 April 2014

Published in Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.0934

zbMATH Keywords

\(L\)-extremadrilling random walkexcited random walkperturbed random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Abstract: In this paper we study some properties of random walks perturbed at extrema, which are generalizations of the walks considered e.g., in Davis (1999). This process can also be viewed as a version of {em excited random walk}, studied recently by many authors. We obtain a few properties related to the range of the process with infinite memory. We also prove the Strong law, Central Limit Theorem, and the criterion for the recurrence of the perturbed walk with finite memory.

Review text

Let \(1\leq L\leq \infty\) be an integer and let \(\{X_k: k\geq1\}\) be a simple symmetric random walk, modified such that the transition probability \(=p\) if the current location equals \(\max_{m=0,1,\dots,L\wedge k}X_{k-m}\), \(=q\) if it equals \(\min_{m=0,1,\dots,L\wedge k}X_{k-m}\) (and \(1/2\) otherwise). \(L\) is interpreted as the length of the memory of the walk. The process thus obtained is called ``a random walk, perturbed at \(L\)-extrema. For the case \(L=\infty\), the authors obtain i.a.\ results on the time it takes until the length of the visited area reaches a certain value. For the finite case, the walk can be viewed as a Markov chain, and it is, e.g., shown that the chain is recurrent if \(p+q=1\). In addition, a strong law and a central limit theorem are also proved in this case. Some open problems are also mentioned.

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Cites work

• Brownian motion and random walk perturbed at extrema
• Excited random walk
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• Generalized Ray-Knight theory and limit theorems for self-interacting random walks on \(\mathbb{Z}^ 1\)
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• Multi-excited random walks on integers
• On the speed of a cookie random walk
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• Reinforced random walk
• Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)

Cited in

(3)

• A monotonicity result for the range of a perturbed random walk
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• Explicit laws for the records of the perturbed random walk on \(\mathbb{Z} \)

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