Favourite sites, favourite values and jump sizes for random walk and Brownian motion (Q5933564)

Let \(L(t,x)\) be the local time at \(x\) up to time \(t\) of a simple symmetric random walk \(\{S_s\}_{s\in\mathbb{N}}\) or a one-dimensional standard Brownian motion \(\{B_s\}_{s\geq 0}\) and consider the largest favourite (= most visited) site up to time \(t\) \[ U(t)= \sup_x \Biggl\{x: L(t, x)= \sup_y L(t,y)\Biggr\}. \] The study of the asymptotic behaviour of \(U\) was initiated by \textit{P. Erdős} and \textit{P. Révész} [in: Mathematical structures, computational mathematics, mathematical modelling 2, 152-157 (1984; Zbl 0593.60072)] and \textit{R. F. Bass} and \textit{P. S. Griffin} [Z. Wahrscheinlichkeitstheorie Verw. Gebiete 70, 417-436 (1985; Zbl 0554.60076)] where (among other results) a law of the iterated logarithm-type theorem for \(U\) and the maximum local time \(L^*(t)= \sup_x L(t,x)\) was proved. In the present paper the authors extend these results as follows: Let \(\varphi(t)= (2t\log\log t)^{1/2}\). (1) The limit set of \(\{(U(t)/\varphi(t); L^*(t)/\varphi(t)): t\geq 3\}\) as \(t\to\infty\) is almost surely the simplex \(\{(x; y): y\geq 0,|x|+ y\leq 1\}\). (2) One has almost surely \(\limsup_{t\to\infty} {U(t)- U(t-)\over \varphi(t)}= 1\) where ``\(t-\)'' stands for the left limit at (for \(t\in\mathbb{N}\): predecessor of) \(t\). Note that the upper bound in (2) follows readily from the usual law of the iterated logarithm for random walks. The proofs of (1), (2) are based around a (known) approximation theorem that says that one can approximate Brownian motion itself and its local time simultaneously through the corresponding discrete objects for a simple random walk. This allows to reduce all calculations to local times of a one-dimensional Brownian motion. Crucial ingredients are highly technical, sharp estimates for \(d\)-dimensional Brownian motion \(B_t\), its local time \(L(t,x)\), \(d\)-dimensional Bessel processes \(R_t\sim\|B_t\|\) and various functionals thereof. These estimates are only used for \(d=2\) but the theorems are stated and proved in any dimension \(d\).