On strong invariance for local time of partial sums

For a suitable definition of the local time of a random walk strong invariance principles are proved, saying that this local time is like that of a Wiener process. Consequences of these results are LIL statements for the local time of a general enough class of random walks. One of the tools for our proofs is a discrete version of the Tanaka formula.     

A one-dimensional version of the random interlacements

We base ourselves on the construction of the two-dimensional random interlacements (Comets et al., 2016) to define the one-dimensional version of the process. For this, we consider simple random walks conditioned on never hitting the origin. We compare this process to the conditional random walk on the ring graph. Our results are the convergence of the vacant set on the ring graph to the vacant set of one-dimensional random interlacements, a central limit theorem for the interlacements’ local time and the convergence in law of the local times of the conditional walk on the ring graph to the interlacements’ local times.     

On the concentration of Sinai’s walk

We consider Sinai’s random walk in a random environment. We prove that for an interval of time [1,n]$[1,n]$ Sinai’s walk sojourns in a small neighborhood of the point of localization for the quasi-totality of this amount of time. Moreover the local time at the point of localization normalized by n$n$ converges in probability to a well defined random variable of the environment. From these results we get applications to the favorite sites of the walk and to the maximum of the local time.     

The Local time of Simple Random Walk in Random Environment

Two integral tests are established, which characterize respectively Lévy's upper and lower classes for the local time of Sinai's simple random walk in random environment. The weak convergence of the local time is also studied, and the limiting distribution determined. Our results can be applied to a class of diffusion processes with random potentials which asymptotically behave like Brownian motion.     

Large deviations estimates for self-intersection local times for simple random walk in {\mathbb{Z}}^3

We obtain large deviations estimates for the self-intersection local times for a simple random walk in dimension 3. Also, we show that the main contribution to making the self-intersection large, in a time period of length n, comes from sites visited less than some power of log(n). This is opposite to the situation in dimensions larger or equal to 5. Finally, we present an application of our estimates to moderate deviations for random walk in random sceneries.      

Local Times of Subdiffusive Biased Walks on Trees

Consider a class of null-recurrent randomly biased walks on a supercritical Galton–Watson tree. We obtain the scaling limits of the local times and the quenched local probability for the biased walk in the subdiffusive case. These results are a consequence of a sharp estimate on the return time, whose analysis is driven by a family of concave recursive equations on trees.     

Stability and Instability of Steady States for a Branching Random Walk

Methodology and Computing in Applied Probability - We consider the time evolution of a lattice branching random walk with local perturbations. Under certain conditions, we prove the Carleman type...     

EQUIVALENT CONDITIONS OF LOCAL ASYMPTOTICS FOR THE OVERSHOOT OF A RANDOM WALK WITH HEAVY-TAILED INCREMENTS

This article gives the equivalent conditions of the local asymptotics for the overshoot of a random walk with heavy-tailed increments, from which we find that the above asymptotics are different from the local asymptotics for the supremum of the random walk. To do this, the article first extends and improves some existing results about the solutions of renewal equations.     

Self-intersection Local Time of Planar Brownian Motion Based on a Strong Approximation by Random Walks

The main purpose of this work is to define planar self-intersection local time by an alternative approach which is based on an almost sure pathwise approximation of planar Brownian motion by simple, symmetric random walks. As a result, Brownian self-intersection local time is obtained as an almost sure limit of local averages of simple random walk self-intersection local times. An important tool is a discrete version of the Tanaka?CRosen?CYor formula; the continuous version of the formula is obtained as an almost sure limit of the discrete version. The author hopes that this approach to self-intersection local time is more transparent and elementary than other existing ones.     

Strong limit theorems for anisotropic random walks on ℤ2

We study the path behaviour of the anisotropic random walk on the two-dimensional lattice ?². Strong approximation of its components with independent Wiener processes is proved. We also give some asymptotic results for the local time in the periodic case.     

Cover time and mixing time of random walks on dynamic graphs

The application of simple random walks on graphs is a powerful tool that is useful in many algorithmic settings such as network exploration, sampling, information spreading, and distributed computing. This is due to the reliance of a simple random walk on only local data, its negligible memory requirements, and its distributed nature. It is well known that for static graphs the cover time, that is, the expected time to visit every node of the graph, and the mixing time, that is, the time to sample a node according to the stationary distribution, are at most polynomial relative to the size of the graph. Motivated by real world networks, such as peer‐to‐peer and wireless networks, the conference version of this paper was the first to study random walks on arbitrary dynamic networks. We study the most general model in which an oblivious adversary is permitted to change the graph after every step of the random walk. In contrast to static graphs, and somewhat counter‐intuitively, we show that there are adversary strategies that force the expected cover time and the mixing time of the simple random walk on dynamic graphs to be exponentially long, even when at each time step the network is well connected and rapidly mixing. To resolve this, we propose a simple strategy, the lazy random walk, which guarantees, under minor conditions, polynomial cover time and polynomial mixing time regardless of the changes made by the adversary.     

Local Particles Numbers in Critical Branching Random Walk

Critical catalytic branching random walk on an integer lattice ? ^d is investigated for all d∈?. The branching may occur at the origin only and the start point is arbitrary. The asymptotic behavior, as time grows to infinity, is determined for the mean local particles numbers. The same problem is solved for the probability of the presence of particles at a fixed lattice point. Moreover, the Yaglom type limit theorem is established for the local number of particles. Our analysis involves construction of an auxiliary Bellman–Harris branching process with six types of particles. The proofs employ the asymptotic properties of the (improper) c.d.f. of hitting times with taboo. The latter notion was recently introduced by the author for a non-branching random walk on ? ^d .     

On the Local Times of Transient Random Walks

We study the properties of the local and occupation times of certain transient random walks. First, our recent results concerning simple symmetric random walk in higher dimension are surveyed, then we start to establish similar results for simple asymmetric random walk on the line.     

Dynamics on rugged landscapes of energy and ultrametric diffusion

We discuss the interbasin kinetics approximation for random walk on a complex (rugged) landscape of energy. In this approximation the random walk is described by the system of kinetic equations corresponding to transitions between the local minima of energy. If we approximate the transition rates between the local minima by the Arrhenius formula then the system of kinetic equations will be hierarchical. We discuss for a generic landscape of energy the anzats of interbasin kinetics which is equivalent to the ultrametric diffusion generated by an ultrametric pseudodifferential operator.     

Two-boundary problems for a random walk

We solve main two-boundary problems for a random walk. The generating function of the joint distribution of the first exit time of a random walk from an interval and the value of the overshoot of the random walk over the boundary at exit time is determined. We also determine the generating function of the joint distribution of the first entrance time of a random walk to an interval and the value of the random walk at this time. The distributions of the supremum, infimum, and value of a random walk and the number of upward and downward crossings of an interval by a random walk are determined on a geometrically distributed time interval. We give examples of application of obtained results to a random walk with one-sided exponentially distributed jumps. __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 11, pp. 1485–1509, November, 2007.     

Commutation relations and Markov chains

It is shown that the combinatorics of commutation relations is well suited for analyzing the convergence rate of certain Markov chains. Examples studied include random walk on irreducible representations, a local random walk on partitions whose stationary distribution is the Ewens distribution, and some birth–death chains.     

Random walks with non-convolution equivalent increments and their applications

This paper mainly presents some global and local asymptotic estimates for the tail probabilities of the supremum and overshoot of a random walk in “the intermediate case”, where the related distributions of the increments of the random walk may not belong to the convolution equivalent distribution class. Some of the obtained results can include the classical results. For this, the paper first introduces some new distribution classes using the γ-transform of distributions, and investigates their properties and relations with some other existing distribution classes. Based on the above results, some equivalent conditions for the global and local asymptotics of the γ-transform of the distribution of the supremum of the above random walk are given. Applying these results to risk theory and infinitely divisible laws, the paper obtains some asymptotic estimates for the ruin probability and the local ruin probability of the renewal risk model with non-convolution equivalent claims, and the global and local asymptotics of an infinitely divisible law with a non-convolution equivalent Lévy measure.     

随机游动的阶梯高度和最大值及其在风险理论中的应用

该文研究了均值为负的实值随机游动的阶梯高度及最大值, 在指数估计的条件不满足的情况下,得到了它们分布的局部渐近估计和尾渐近估计, 并将这些结果应用到风险理论中的Sparre Andersen 风险模型上, 得到了一些关于破产概率的新结果.     

Weak invariance principle for local times

Results are found on weak convergence of some processes generated by a recurrent random walk to a Brownian local time process.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 158, pp. 14–31, 1987.