A Gaussian upper bound for martingale small-ball probabilities

DOI10.1214/15-AOP1073MaRDI QIDQ504261zbMATH OpenOpenAlexFDO

Authors James R. Lee, Yuval Peres, Charles K. Smart

Publication date 13 January 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.5980

zbMATH Keywords

martingalesrandom walkssmall-ball probabilities

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50)

Abstract: Consider a discrete-time martingale $X_t$ taking values in a Hilbert space $mathcalH$. We show that if for some $Lgeq1$, the bounds $mathbbEleft[|X_{t+1}-X_t{|}_{mathcalH}^{2}mid{X}_{t}ight]=1$ and $|X_{t+1}-X_t{|}_{mathcalH}leqL$ are satisfied for all times $tgeq0$, then there is a constant $c=c(L)$ such that for $1leqRleqsqrtt$, [mathbb{P}(|X_t|_{mathcal H} leq R mid X_0 = x_0) leq c frac{R}{sqrt{t}} e^{-|x_0|_{mathcal H}^2/(6 L^2 t)},.] Following [Lee-Peres, Ann. Probab. 2013], this has applications to diffusive estimates for random walks on vertex-transitive graphs.

Review text

The theme of this paper is the Gaussian behavior of martingales taking values on a Hilbert space. More specifically, let us consider such a martingale starting at 0 that has a.s. bounded increments (in terms of magnitude) but the conditional variance is bounded from below by 1. It has been proved that the probability that the magnitude of the \(t\)th element of the martingale sequence being smaller than 1 is at least \(t^{-\alpha}\) (up to a multiplicative constant) for \(0< \alpha < \frac12\). The authors prove that if the conditional variance is given by a deterministic sequence, then this is not the case. There, the scaling is of order \(1/t^{\frac12}\). This result is applied in the particular case of a random walk on an infinite but locally-finite, connected and vertex-transitive graph, where the notion of the distance is the graph distance from the starting vertex.

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Cited in

(4)

• Local asymptotics for controlled martingales
• Asymptotic behaviors of random walks on countable groups
• Fluctuations of partition functions of directed polymers in weak disorder beyond the L^2-phase
• Occupation measure of random walks and wired spanning forests in balls of Cayley graphs

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