Recurrence properties of a special type of heavy-tailed random walk

DOI10.1007/S10955-010-0116-4MaRDI QIDQ629894zbMATH OpenOpenAlexFDO

Authors Péter Nándori

Publication date 10 March 2011

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.07586

zbMATH Keywords

heavy taillocal limit theoremrandom walkrecurrence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: In the proof of the invariance principle for locally perturbed periodic Lorentz process with finite horizon, a lot of delicate results were needed concerning the recurrence properties of its unperturbed version. These were analogous to the similar properties of Simple Symmetric Random Walk. However, in the case of Lorentz process with infinite horizon, the analogous results for the corresponding random walk are not known, either. In this paper, these properties are ascertained for the appropriate random walk (this happens to be in the non normal domain of attraction of the normal law). As a tool, an estimation of the remainder term in the local limit theorem for the corresponding random walk is computed.

Review text

Consider the heavy tail distribution \[ p_k:=\frac{1}{2\zeta(3)}\,k^{-3},\qquad k\in\mathbb Z\setminus\{0\}, \] on the integer lattice and let \(Q=(Q_n)_{n=0,1,2,\dots}\) be the corresponding integer-valued random walk. Furthermore, let \(S=(S_n)_{n=0,1,2,\dots}\) be the random walk on the two-dimensional integer lattice with step distribution \[ p'_{(0,k)}=p'_{(k,0)}=\tfrac12p_k. \] The author derives local limit theorems for \(Q\) and \(S\) as well as the asymptotics for the time of first return to the origin, and the number of visits to the origin in the first \(n\) steps.

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Cited in

(9)

• Slow convergence in generalized central limit theorems
• A random flight process associated to a Lorentz gas with variable density in a gravitational field
• Heavy-tailed random walks on complexes of half-lines
• On 1/f noise
• A bound in the stable \((\alpha)\), \(1 < \alpha \leq 2\), limit theorem for associated random variables with infinite variance
• Anomalous recurrence properties of many-dimensional zero-drift random walks
• Uniformly expanding Markov maps of the real line: exactness and infinite mixing
• Heavy tail properties of stationary solutions of multidimensional stochastic recursions
• Fractional Edgeworth expansions for one-dimensional heavy-tailed random variables and applications

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