Exceptional times and invariance for dynamical random walks

DOI10.1007/S00440-005-0435-6zbMATH Open1130.60079arXivmath/0409479OpenAlexW2079409114MaRDI QIDQ877451FDOQ877451

Authors: D. Khoshnevisan, David A. Levin, Pedro J. Méndez-Hernández 

Publication date: 23 April 2007

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Consider a sequence {X(i,0) : i = 1, ..., n} of i.i.d. random variables. Associate to each X(i,0) an independent mean-one Poisson clock. Every time a clock rings replace that X-variable by an independent copy. In this way, we obtain i.i.d. stationary processes {X(i,t) : t >= 0} (i=1,2, ...) whose invariant distribution is the law of X(1,0). Benjamini, Haggstrom, Peres, and Steif (2003) introduced the dynamical walk S(n,t) = X(1,t) + ... + X(n,t), and proved among other things that the LIL holds for {S(n,t) : n =1,2, ...} simultaneously for all t. In other words, the LIL is dynamically stable. Subsequently, we showed that in the case that the X(i,0)'s are standard normal, the classical integral test is not dynamically stable. Presently, we study the set of times t when {S(n,t) : n=1,2, ...} exceeds a given envelope infinitely often. Our analysis is made possible thanks to a connection to the Kolmogorov epsilon-entropy. When used in conjunction with the invariance principle of this paper, this connection has other interesting by-products some of which we relate. We prove also that viewed as an infinite-dimensional process, the rescaled dynamical random walk converges weakly in D(D([0,1])) to the Ornstein-Uhlenbeck process in C([0,1]). For this we assume only that the increments have mean zero and variance one. In addition, we extend a result of Benjamini, Haggstrom, Peres and Steif (2003) by proving that if the X(i,0)'s are lattice, mean-zero variance-one, and possess 2 + epsilon finite absolute moments for some positive epsilon, then the recurrence of the origin is dynamically stable. To prove this we derive a gambler's ruin estimate that is valid for all lattice random walks that have mean zero and finite variance. We believe the latter may be of independent interest.

Full work available at URL: https://arxiv.org/abs/math/0409479

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zbMATH Keywords

Ornstein-Uhlenbeck processHausdorff dimensionupper functionsKolmogorov entropydynamical walks

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Hausdorff and packing measures (28A78) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cited In (9)

• A special set of exceptional times for dynamical random walk on \(\mathbb Z^2\)
• Hausdorff dimension of the contours of symmetric additive Lévy processes
• Capacities in Wiener space, quasi-sure lower functions, and Kolmogorov's \(\varepsilon \)-entropy
• Hausdorff dimension of the maximal run-length in dyadic expansion
• The Fourier spectrum of critical percolation
• Noise sensitivity and exceptional times of transience for a simple symmetric random walk in one dimension
• Recurrence of simple random walk on \(\mathbb Z^2\) is dynamically sensitive statistics
• Exceptional times for the dynamical discrete web
• On dynamical Gaussian random walks

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