An expansion for self-interacting random walks

DOI10.1214/10-BJPS121MaRDI QIDQ654417zbMATH OpenFDO

Authors Remco van der Hofstad, Mark Holmes

Publication date 28 December 2011

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.0614

zbMATH Keywords

central limit theoremexcited random walk, once-edge reinforced random walklace expansionlaw of large numbersrandom walk in random environmentself-interacting random walks

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes in random environments (60K37) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Abstract: We derive a perturbation expansion for general self-interacting random walks, where steps are made on the basis of the history of the path. Examples of models where this expansion applies are reinforced random walk, excited random walk, the true (weakly) self-avoiding walk, loop-erased random walk, and annealed random walk in random environment. In this paper we show that the expansion gives rise to useful formulae for the speed and variance of the random walk, when these quantities are known to exist. The results and formulae of this paper have been used elsewhere by the authors to prove monotonicity properties for the speed (in high dimensions) of excited random walk and related models, and certain models of random walk in random environment. We also derive a law of large numbers and central limit theorem (with explicit error terms) directly from this expansion, under strong assumptions on the expansion coefficients. The assumptions are shown to be satisfied by excited random walk in high dimensions with small excitation parameter, a model of reinforced random walk with underlying drift and small reinforcement parameter, and certain models of random walk in random environment under strong ellipticity conditions. This is the extended version of the paper, where we provide all proofs.

Review text

The authors first derive a perturbation expansion for general self-interacting random walks, where steps are made on the basis of the history of the path. Subsequently, they derive bounds on the lace expansion coefficients and analyze the recurrence relation, using the obtained bounds. They prove a law of large numbers and a central limit theorem (with explicit error terms) directly from the lace expansion, under strong assumptions on the expansion coefficients. The assumptions are shown to be satisfied by the excited random walk in high dimensions with small excitation parameter, a model of the reinforced random walk with underlying drift and small reinforcement parameter, and certain models of the random walk in random environment under strong ellipticity conditions. Furthermore, the objective of the authors is to show that this expansion can be used independently to prove results in the perturbative regime which have the advantage of giving formulae and estimates of error terms for some of the relevant quantities of interest. In this paper, the authors demonstrate that the lace expansion methodology gives rise to useful formulae for the speed and variance of the random walk when these quantities are known to exist. The results and formulae of this paper were used elsewhere by the authors to prove monotonicity properties for the speed (in high dimensions) of the excited random walk and related models, and certain models of the random walk in random environment.

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Cited in

(12)

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