An expansion for self-interacting random walks

DOI10.1214/10-BJPS121zbMATH Open1238.60116arXiv0706.0614MaRDI QIDQ654417FDOQ654417

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)

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.

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

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zbMATH Keywords

central limit theoremlace expansionlaw of large numbersrandom walk in random environmentself-interacting random walksexcited random walk, once-edge reinforced random walk

Mathematics Subject Classification ID

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

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