Noise reinforced Lévy processes: Lévy-Itô decomposition and applications

DOI10.1214/23-EJP1045MaRDI QIDQ6177571zbMATH OpenOpenAlexFDO

Authors Alejandro Rosales-Ortiz

Publication date 17 January 2024

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2210.00564

zbMATH Keywords

limit theoremreinforcementelephant random walknoise reinforced random walkLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sums of independent random variables; random walks (60G50)

Abstract: A step reinforced random walk is a discrete time process with memory such that at each time step, with fixed probability $pin(0,1)$, it repeats a previously performed step chosen uniformly at random while with complementary probability $1-p$, it performs an independent step with fixed law. In the continuum, the main result of Bertoin in [7] states that the random walk constructed from the discrete-time skeleton of a L'evy process for a time partition of mesh-size $1/n$ converges, as $nuparrowinfty$ in the sense of finite dimensional distributions, to a process $hatxi$ referred to as a noise reinforced L'evy process. Our first main result states that a noise reinforced L'evy processes has rcll paths and satisfies a $extitnoisereinforced$ L'evy It^o decomposition in terms of the $extitnoisereinforced$ Poisson point process of its jumps. We introduce the joint distribution of a L'evy process and its reinforced version $(xi,hatxi)$ and show that the pair, conformed by the skeleton of the L'evy process and its step reinforced version, converge towards $(xi,hatxi)$ as the mesh size tend to $0$. As an application, we analyse the rate of growth of $hatxi$ at the origin and identify its main features as an infinitely divisible process.

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