Limit theorems for additive functionals of continuous time random walks

DOI10.1017/PRM.2020.33zbMATH Open1485.60049OpenAlexW3104543535MaRDI QIDQ4987477FDOQ4987477

Authors Yuri Kondratiev, Yuliya S. Mishura, G. M. Shevchenko

Publication date 3 May 2021

Published in Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.00963

zbMATH Keywords

local timerandom environmentadditive functionalcontinuous-time random walkdomain of attraction of stable law\(\alpha\)-stable Lévy motionPoisson shot-noise potential

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Abstract: For a continuous-time random walk $X=X_t,tge0$ (in general non-Markov), we study the asymptotic behavior, as $tightarrowinfty$, of the normalized additive functional $c_{t}in{t}_0^{t}f(X_s)ds$, $tge0$. Similarly to the Markov situation, assuming that the distribution of jumps of $X$ belongs to the domain of attraction to $alpha$-stable law with $alpha>1$, we establish the convergence to the local time at zero of an $alpha$-stable L'evy motion. We further study a situation where $X$ is delayed by a random environment given by the Poisson shot-noise potential: $Lambda(x,gamma)=e^{-su{m}_{yingamma}phi(x-y)},$ where $phicolonmathbbRo[0,infty)$ is a bounded function decaying sufficiently fast, and $gamma$ is a homogeneous Poisson point process, independent of $X$. We find that in this case the weak limit has both "quenched" component depending on $Lambda$, and a component, where $Lambda$ is "averaged".

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