A self-similar process arising from a random walk with random environment in random scenery

DOI10.3150/09-BEJ234zbMATH Open1284.60078arXiv1102.5241MaRDI QIDQ637083FDOQ637083

Authors: Brice Franke, Tatsuhiko Saigo 

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this article, we merge celebrated results of Kesten and Spitzer [Z. Wahrsch. Verw. Gebiete 50 (1979) 5-25] and Kawazu and Kesten [J. Stat. Phys. 37 (1984) 561-575]. A random walk performs a motion in an i.i.d. environment and observes an i.i.d. scenery along its path. We assume that the scenery is in the domain of attraction of a stable distribution and prove that the resulting observations satisfy a limit theorem. The resulting limit process is a self-similar stochastic process with non-trivial dependencies.

Full work available at URL: https://arxiv.org/abs/1102.5241

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zbMATH Keywords

random walkbirth-death processrandom environmentself-similar processrandom scenery

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes in random environments (60K37) Self-similar stochastic processes (60G18)

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• A class of semi-selfsimilar processes related to random walks in random scenery

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