Asymptotic behaviour of non-isotropic random walks with heavy tails

DOI10.15559/17-VMSTA75MaRDI QIDQ522552zbMATH OpenOpenAlexFDO

Authors Enzo Orsingher, Mark Kelbert

Publication date 18 April 2017

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.02143

zbMATH Keywords

Bessel functionsrandom flightsnon-Gaussian limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sums of independent random variables; random walks (60G50)

Abstract: A random flight on a plane with non-isotropic displacements at the moments of direction changes is considered. In the case of exponentially distributed flight lengths a Gaussian limit theorem is proved for the position of a particle in the scheme of series when jump lengths and non-isotropic displacements tend to zero. If the flight lengths have a folded Cauchy distribution the limiting distribution of the particle position is a convolution of the circular bivariate Cauchy distribution with a Gaussian law.

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A Pearson random walk with steps of uniform orientation and Dirichlet distributed lengths
• A Representation of the Symmetric Bivariate Cauchy Distribution
• Flying randomly in \(\mathbb R^d\) with Dirichlet displacements
• Generalized Bessel functions of the Anger type and applications to physical problems
• Random flights in higher spaces
• Stochastic Problems in Physics and Astronomy

Cited in

(5)

• Limit theorems for ``random flights
• Random walks with power-law fluctuations in the number of steps
• Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
• Non-homogeneous random walks with non-integrable increments and heavy-tailed random walks on strips
• Asymptotic results for random flights

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