IN RANDOM AND
NONRANDOM ENVIRONMENTS
Pal Revesz NONACTIVATED VERSION Technical University of Vienna, Technical University of Budapest, Hungary www.avs4you.com
Austria
World Scientific
Singapore
New
Jersey
London
Hong Kong
Published
by
World Scientific Publishing Co. Pte. Ltd., P O Box 128, Farrer Road, Singapore 9128
USA UK
NJ 07666 8DH
Library
of
Congress CataloginginPublication
Data
Revesz, Pal.
Random Walk in random and nonrandom
p. Includes
cm.
environments/Pal
Revesz.
bibliographical
references (P.
) and indexes.
ISBN 9810202377
1. Random walks (Mathematics)
I. Title.
QA274.73.R48
519.2'82dc20
1990
Copyright
All
in any
rights reserved. This book, or parts thereof, may not be reproduced form or by any means, electronic or mechanical, including photophotocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher.
Printed in
Singapore by
Preface
dangerous to drink a beer with you. a book with those you drink a beer with," said Professor Willem referring to the preface of the book Csorgo and I wrote A981) where
"I did not know that it
was so
Zwet,
told
was
was
born in
an
inn in London
me
over a
beer. In
spite
a
of this
in
danger Willem
was
brave
a
enough
to invite
me
quite
am
can
Department
of Leiden
for
very
supported by Fonds zur Forderung der Wissenschaftlichen Forschung, Project Nr. P6076. During these years I had very strong contact with the Mathematical
indebted to Professors E. Csaki and A. Budapest. I am Foldes for long conversations which have a great influence on the subject of this book. The reader will meet quite often with the name of P. Erdos, but his role in this book is even greater. Especially most results of Part II are fully or partly due to him, but he had a significant influence even on those results that appeared under my name only. Last but not least, I have to mention the name of M. Csorgo, with whom I wrote about 30 joint papers in the last 15 years, some of them strongly connected with the subject of this book.
Institute of
pleasant
time and
sup
Vienna,
1989.
P. Revesz
Technical
Wiedner
A1040 Vienna
Contents
Preface Introduction
xiii
Introduction of Part I
1.1
1.2 1.3 1.4 1.5
Dyadic expansion
Coin
10 11
11
Rademacher functions
tossing
The
language
of the
probabilist
11
Distributions
2.1
2.2
13 13 19 23 23
25
Exact distributions
Limit distributions
Recurrence
The ZeroOne Law
Strong Law of Large Numbers to the Law of Iterated Logarithm 4.1 Borel Cantelli Lemma and Markov inequality 4.2 The strong law of large numbers 4.3 Between the Strong Law of Large Numbers and the Law of Iterated Logarithm
From the

27
27
28
30 31
4.4
viii
CONTENTS
Levy Classes
5.1 5.2 5.3 5.4
33 33
Definitions
EFKP LIL The laws of and Hirsch
35
Chung
39 39
41
big?
5.5
6
Principle
47
47
48 52
6.3 7
Principle
Increments
7.1 7.2
7.3
55 55
a
Long headruns
The increments of Wiener process The increments of Ss
63
73
Strassen
8.1 8.2
8.3
8.4
9
type theorems
79
79
86 88 90
93 93 99
a
Limit distributions
9.3
Wiener process
Principle
10.2 A theorem of
11
Principle Levy
107
113
Strong theorems of the local time 11.1 Strong theorems for ?{x,n) and f(n)
11.2 Increments of
11.3 Increments 11.4 Strassen 11.5
113 115
118
ri(x,t) of ?{x,n)
type theorems
120 122
.
Stability
points visited points Rarely
129
132
CONTENTS
ix
12 An
embedding
theorem
133
133
Applications
13 Excursions
of
random walk
141
long
excursions
147 152
....
(Mesure
du
voisinage)
high excursions
can a
157
161
a
14.1 On the location of the maximum of 14.2 On the location of the last 14.3 The Ornstein

random walk
theorem of
161
165
zero a
Uhlenbeck process and Darling and Erdos 14.4 A discrete version of the Ito formula
15
169
Summary
173 177
Zd
181
183
Principle
189 193
Logarithm
197 197
204
206
19.2
f @, n) in Z2 f (n) in Zd
207
207
210
CONTENTS
21
Selfcrossing
Large covered balls 22.1 Completely covered discs in Z2 22.2 Discs covered with positive density 22.3 Completely covered balls in Zd
22.4 Once
more on
213
22
217 217
233 241
248
Z2
23
Speed of
escape
249
255
24 A few further
24.1 On
255
258
260
Notations
25 Introduction
263 265
269
273
273
an
particle
is
going
away in
RE
prediction of prediction of
can a
physicist
say about the local time
on
physicist
f@,n)?
the environment
f @, n)
297
305
305
30 A few further
problems
walk
Nonnearestneighbour random
Zd
environments
307
308
Nonindependent
310
CONTENTS
xi
310
311
313
References
Author Index
327
331
Subject Index
Introduction
The first examinee is saying: Sir, I did not have time enough to study but I learned very carefully the first chapter of your handout.

everything
Very good says the professor you will be a great specialist. You know what a specialist is. A specialist knows more and more about less and less. Finally he knows everything about nothing. The second examinee is saying: Sir, I did not have enough time but I read your answers the professor handout without taking care of the details. Very good you will be a great polymath. You know what a polymath is. A polymath knows less and less about more and more. Finally he knows nothing about everything.

of the author is to say that this specialist. The most trivial book does not tell everything about coin tossing and even the author does not know everything about it. Seriously speaking I wish to explain my reasons for writing such a book. You know that the first probabilists (Bernoulli, Pascal, etc.) investigated the properties of coin tossing sequences and other simple games only. Later on the progress of the probability theory went into two different directions: (i) to find newer and deeper properties of the coin tossing sequence, (ii) to generalize the results known for a coin tossing sequence to more comcomplicated sequences or processes. Nowadays the second direction is much more popular than the first one. In spite of this fact this book mostly follows direction (i). I hope that (a) using the advantage of the simple situation coming from concentrating on coin tossing sequences, the reader becomes familiar with the problems, results and partly the methods of proof of probability theory, especially those of the limit theorems, without suffering too much from technical tools and difficulties, (b) since the random walk (especially in Zd) is the simplest mathematical model of the Brownian motion, the reader can find a simple way to the problems
written
joke NONACTIVATED VERSION (or properties might equivalently, tossing) www.avs4you.com specialists plea
and realizing that the biggest part of this book is of the simple symmetric random walk devoted to the study of the coin the reader say that this is a book for
Recalling
this old
by
xiii
xiv
INTRODUCTION
(at
problems)
of statistical
to
physics,
less
complete picture of the properties of the random walk without studying the analogous properties of the Wiener process, the reader can find a simple way to the study of the stochastic processes and should learn that it is impossible to go deeply in direction (i) without going a bit in direction (ii), (d) any reader having any degree in math can understand the book, and reading the book can get an overall picture about random phenomena, and the readers having some knowledge in probability can get a better overview of the recent problems and results of this part of the probability theory, (e) some parts of this book can be used in any introductory or advanced probability course. The main aim of this book is to collect and compare the results mostly strong theorems which describe the properties of a simple symmetric random walk. The proofs are not always presented. In some cases more proofs are given, in some cases none. The proofs are omitted when they can be obtained by routine methods and when they are too long and too technical. In both cases the reader can find the exact reference to the location of the (or of a) proof.
(c)
since it is
nearly impossible
give
a more or
"Four
legs good,
two
legs better."
"Two
logs good,
logs better."
original Constitution
The
of mathematicians.
Notations
General notations
1.
Xi,X2,...
is
sequence of
random
variables with
2.
So
{Sn}
3. M+ n
M~ n
O,Sn
is the
V V
'
0<k<n
maxSk,
'
'
min
0<k<n
S*, *'
=
Mn
M(n)
max 0<fc<n
5jt
max(M^",M~),
4.
>
0}
is
Wiener process
(cf.
Section
6.1).
5.
0<<t
=

supW(s),
inf
0<s<t
W(s), V '
=
sup
0<<t
\W(s)\
max(m+{t),m{t)) {t
>
0),
m*(t)
=
m+(t)+m{t), m+{t)W{t).
=
6.
6n
In
6(n)
7.
[x]
is the
than
or
equal
to
x.
8.
>
g(n)
>
g(n)
<+
o(f(n))
>
Jun
<
oo.
9.
O(f(n)) g(n)
<>
0 <
Iiminf44 Iimsup44
=
<
10.
lim
)r
1.
11. Sometimes
we use
the notation
mathematical
sense.
12.
$(z)
e~u
/2du
13. N
eN{m,a) ^P{a~l(N
is the
m) <x}
$(z).
14. 15.
#{...} = {...} 
Rd
resp.
cardinality
16. B
17.
integer grid.
Bd is the
Rd.
is the
=
Lebesgue
Rd.
18.
logp (p
resp.
1,2,...)
is
resp.
lgp
is the
logarithm
19. Let
{Un} and {Vn} be two sequences of random variables. {Un,n= 1,2,...} {Vnn 1,2,...} if the finite dimensional distributions of {Un} are equal to the corresponding finite dimensional distributions of
= =
h{n,a) h{n,a)
h(n, a)
max 0<k<na
(Sk+a
Sk),
Sk\,
2.
QnnxJSk+a
max
3.
4.
lAn,a)
max
maxSjt+,
Sid,
5.
h{n,a)
min
max
0<k<n~a0<j<a
I S*+, S* ,
6.
J1{t,a)=
sup
0<S<ta
{W{s \W(s
sup
a) W{s)),
7.J2{t,a)=
8.
sup
0<s<ta
a)W{s)\,
J3(t,a)= J4{t, a)
=
sup
0<t<ta0<u<a
(W(s+u) W(s)),
\W(s \W(s
+
9.
sup
sup
u) u)
0<3<ta0<u<a
W(s)\,
10.
JM,a)=
Zn
<
n
inf
0<<ta0<u<a
sup
W(s)\,
h(n, Zn)
=
11.
is the
largest integer
run
for which
n
Zn,
i.e. Zn is the
length
of the
longest
of pure heads in
Bernoulli trials.
2.
3. 4.
1), Unz] +(x I~H X[nx]+1\ @ NONACTIVATED VERSION iut(x) btW(tx) @<x<l;t>0), www.avs4you.com
Sn(x)
bn
<
<
C@,1) S@,1)
which
on
the interval
?
[0,1],
for
C@,1)
/@)
0 and
^{f'{x))Hx
(x the local time of the random walk {Sk}. occupation time E(A, n) Ezex f (x>n)=
?(x, n)
#{k
0 < k < n,
Sk
x}
2. 3.
<
<
+oo;t
5
>
0)
W() (cf.
a
Section
>
9.3).
is the
\{s
0 <
occupation time
/21 is
Borel set, t
0)
S*
increasing
=
order be 0
...,
=
i.e. pl
:
min{A;
k > 0,
=
Sk
0},p2
mm{k
k > Pl,
Sk
0},..., pn
m\n{k
k >
pnUSk
0},....
Z1
5.
Similarly
Sk
i.e.
=
x.
for any x 0, 1,2,... consider those values of k for which Let these values in increasing order be 0 < Pi(x) < p2(x) <
=
...
of
6.
Wiener process
=
min{A; : k > pi(x),Sk x},p2(x) : k > /v In case Clearly p,@) pni(x),Sk x] define p*u inf{t : t > O,ij(O,t) > u}.
Sk
= = =
k > 0,
...
^(n)
max,
?(x,n).
7.
ri(t) =supxV(x;t).
Si,... ,SPi}, E2
called the first, second, walk {Sk}.
are
...
\SP1,
excursions
(away
from
0)
of the random
are
...
is*}.
10. For any t > 0 let
t
a(t)
sup{r
>
t,W(r)
excursion
0}. of W().
=
Then the
<
0}
s
and
<
<
f3(t) (l(t)} is
inf{r
called
an
equal
=
to 0
Si, 52,..., Sn which are positive but the preceding term of which is positive.
or
which
12.
13.
#{k
1 < k < n,
SkiSk+i
<
0}
is the number of
crossings.
14.
sup{s
> 0
< t
such that
15.
16.
\?(n)
max{A; sup{5
:
0 < k < n,
5
Sk
0}
zero
up to
n.
i>(t)
0 <
<
t,
W{s)
0}.
17.
R(n) M+(j
n.
is the
18.
< t 5
19.
R*(n)
max{A;
0 < j <
k such that
20.
21.
(i(n)
walk
random
<
n.
{Sk}
up to n, i.e.
fj.(n)
as
is defined
by S(fx(n))
M(n)
and
fx(n)
If there
one
are more
will be considered
=
/x(n).
M{t)
inf{s
0 <
:
< t
for which
n
W(s)
m(t)}.
=
[nf{k S{k) M+{n)}. NONACTIVATED VERSION M+{t) inf{5 W{s) m+{t)}. www.avs4you.com places x(n) fi+{n)
=
for which
< t
for which
So, Si,..., Sn is reached, i.e. x(n) is the largest positive integer for which there exists a sequence of integers 0 < kx < k2 < < kx(n) < n such that
...
S{kx)
S(k2)
S(kx{n))
M+(n).
Abbreviations
1.
r.v.
=
random variable,
=
2. i.i.d.r.v.'s
3. LIL
4.
=
independent, identically
logarithm,
distributed r.v.'s,
law of iterated
5. i.o.
6.
a.s.
infinitely often,
almost
surely.
Chapter
Introduction of Part I
problems and results of the theory of simple symmetric random walk in Z1 can be presented using different languages. The physicist will talk about random walk or Brownian motion on the line. (We use the expression "Brownian motion" in this book only in a nonwelldefined physical sense and we will say that the simple symmetric random walk or the Wiener process are mathematical models of the Brownian motion.) The number theorist will talk about dyadic expansions of the elements of [0,1]. The people interested in orthogonal series like to formulate the results in the language of Rademacher functions. The gambler will talk about coin tossing and his gain. And a probabilist will consider independent, identically distributed random variables and the partial sums of those. Mathematically speaking all of these formulations are equivalent. In order to explain the grammar of these languages in this Introduction we present a few of our notations and problems using the different languages. However, later on mostly the "language of the physicist and that of the probabilist" will be used.
The
1.1
Consider
Random walk
a
particle making a random walk (Brownian motion) on the real line. Suppose that the particle starts from x 0 and moves one unit to the left with probability 1/2 and one unit to the right with probability 1/2 during one time unit. In the next step it moves one step to the left or to the right with equal probabilities independently from its location after the first step. Continuing this procedure we obtain a random walk that is the simplest mathematical model of
=
particle after
steps
or
in time
n.
This model
10
CHAPTER 1
clearly implies
that
P{Sn+i
tn+i
 Sn
=
in, 5n_i
=
in_i,..., Si
=
i,
So
t0
0}
P{Sn+1
a
in+1  Sn
in}
1/2
A.1)
o
=
where i0
...
05 *i,
2)
=
>
*n, *n+i is
sequence of
to the
2
i
tn+1
we
tn
particle
go away
means
(resp. going
that
away to the
right
or
left) during
steps. It
consider
Mn
max
\Sk\
resp.
M+
max
Sk
or
M~
min
S*.
1.2
Let
x
Dyadic expansion
be any real number in the interval
[0,1]
dyadic expansion
where e<
0,1
is
equal
to 0
or
1. In fact
et
[2'z]
(mod 2).
Observe that
\{x : *,,(*)
where 1
<
6ush(x)
=
S2,.. .,ejn(x)
Sn}
2~n
A.2)
of 0's and
Sn(x)
jn;n 1,2,...; 6i, 62,..., 6n is an arbitrary sequence 0 and Sn +l's and A is the Lebesgue measure. Let So ^o(^) 2 ?r=i ei(x) (n 1,2,...). Then A.2) implies j\
<
j2
<
...
<
A{x : Sn+1
where t'o
...
n+1,
Sn
a
in,..., Sl
!,
So
to}
2~(n+1)
=
A.3)
=
integers with t'i t'o z*2 i 1. Clearly A.3) is equivalent to A.1). Hence any theorem tn+i tn proved for a random walk can be translated to a theorem on dyadic expansion. A number theorist is interested in the frequency Nn(x) Z)"=1e,(x) of the ones among the first n digits of x 6 [0,1]. Since Nn(x) (n Sn(x)) any theorem formulated for Sn implies a corresponding theorem for Nn(x).
=
0, iu i2,..., in+1 is
sequence of
INTRODUCTION OF PART I
11
1.3
In the
Rademacher functions
theory
of
orthogonal
if if if if if if
*e
x
series the
following
known. Let
r(x)i l rilxj\i
,
[0,1/2), [i/2,i],
f
f
r2lXj\l
,
x[0,l/4)U[l/2,3/4), x[l/4,l/2)U[3/4,l],
[0,1/8) U[l/4,3/8) U[l/2,5/8) U[3/4,7/8), x[l/8,l/4)U[3/8,l/2)U[5/8,3/4)U[7/8,l],...
x
r3lXj\l
An
is
rn(x)
The functions
l2en(x).
called Rademacher functions.
It is
a se
ri(x),r2(x),...
are
sequence of orthonormed
functions, i.e.
Observe that
61,rh(x)
n
=
62,.. .,rjn(x)
6n}
2~n
A.4)
sequence
=
where 1 <
1,2,...; Si, 62,..., Sn is an arbitrary of fl's and l's and A is the Lebesgue measure. Putting So S0(x) we obtain Sn A.3). Sn{x) E,n=i \(x)(n 1,2,...)
j\
<
j2
<
...
<
jn,
0 and
1.4
Two
Coin
gamblers (A
a
tossing
and
B)
are
tossing
results in
one
dollar if the tossing dollar if the result is tail. Let Sn be the amount
a
coin.
A wins
one
0 gained by A (in dollars) after n tossings. (Clearly Sn can be negative and So by definition.) Then 5^ satisfies A.1) if the game is fair, i.e. the coin is regular.
=
1.5
The
language
a
=
of the
probabilist
=
P{Xt
1}
P{Xt
1}
1/2
1,2,...),
12
CHAPTER I
i.e.
P{Xn
where 1 <
*lt Xh
<
*..., XJn
2""
an
A.5)
arbitrary
jx
<
j2
<
...
jn;n
l's. Let
n
50
Then
and
Sn
? *k
(n
l,2,...).
A.5) implies
that
{Sn}
is
Markov
=
chain, i.e.
Snl
=
nl)
^1
=
*1>
^0
*0
0}
*n+i
I Sn
in}
1/2
A.6) t'o
=
where t'o
...
0, i\, i2,...,
=
tn, tn+1 is
sequence of
2
t'i
n+1 n
1.
Chapter
Distributions
2.1
Exact distributions
gives
THEOREM 2.1
where k
1,...,
n;
1,2,...,
2* +
l}=Bn+IV2"1
B.2)
where k
B.1)
and
B.2)
1,2,
(mod2)'
B.3)
P{Sn
A:}
otherwise
where k
n,
n n
+
=
Further, for
any
ESn
The
0,
E5^
n,
Eexp(*Sn)
^
B.4)
by
ele
can
also be obtained
elementary methods:
13
14
CHAPTER 2
THEOREM 2.2
(cf.
e.g.
Renyi, 1970/B,
p.
387).
2ne2
Sn
n
>e\
e
<2expf
for
any
1,2,... and
0 <
<
1/4.
a
we
present also
slightly
more
Bern
Bernstein
inequality.
THEOREM 2.3
p.
387).
Let
X{,X;,...
be
sequence
of
i.i.d.r.v.'s with
<
< pq
we
have
>e\
<2exp
where
and q
p.
THEOREM 2.4
(cf.
e.g.
Renyi, 1970/A,
n
p.
233).
k}=
[\nk
B.5)
and
for
any t ?
R1
2n
+J Eexp(*M2+J
2~
Jk=O
kt
B.6)
Proof 1 of
p.
233).
max
Let
}
J=2
Xj.
Then
=
>fc
P{X1
l,M^=A:l}
*+!}
DISTRIBUTIONS
15
(Pn,Jkl +Pn,Jk+l)
Similarly
for A:
=
>
1).
B.7)
Pn+1,0
Since p10
=
1,M+
from
<
1}
i(p^ + pn>0).
B.8) by
induction.
B.8)
pu
1/2
we
get
B.5)
B.7)
and
Proof 2 of
B.5). Clearly
>
P{M+
A:}
P{5n
>
A:}
P{5n
(
^
<
k,M+
>
k}
n
nj 2
j=n
(mod 2)
Let
Pi(A:)
min{/ : 5,
*},
if
i.e.
Si
for / >
p\(k)
is the reflection of
Sj
in the mirror y
k.
(Hence
the
reflection principle.)
Then
\nj
j=n
(mod 2)
n
j=n
(mod 2)
2""
j'=n
E
(mod 2)
>
(nj)+2
j=n
nj
(mod 2)
2P{5n
A:}
P{5n
A:}
2~n
E
J=Jk
B.9)
which proves
B.5).
be obtained
B.6)
can
by
direct calculation.
16
CHAPTER 2
pn{a, b, u)
=
P{a

M+ <b,Sn
u)

Jk=oo
f)
qn{u
2k{b
a))
?)
fc=oo
qnBb
2k(b
a))
B.10)
where
otherwise
(j
n,n +
l,...,n;n
0,1,...)In
1
case n
=
Proof.
Po(a,b,u)
and
we
jQ
=
if
0 and
a2
b2
>
0,
otherwise?
holds for
we
n
satisfying
of
B.10) B.10) NONACTIVATED VERSION B.10) pn@,b, w) pn(a,0,u) B.10) (since www.avs4you.com qn{j) <7n(./))
obtain
easily.
Assume that
b, w
Now
prove
0 and the
same
=
is true
Hence
may
assume
< 0 <
b. But in this
+ 1 < 0 and b
a
1 > 0. Hence
n
by induction
B.10)
1,
1, b
1,
and
1,
1, b
1,
u.
We
and
pn(a, 6, j/)
pni(a
1,6
1,i/
1)
Pni(a
1,6
1,i/
1).
integers
<
< 0 <
P{a
M+
b, u
<
Sn
<
u}
+
f
k=oo
~
a)
<
Sn<v
2k{ba)}
+
E P{2bv + 2k{ba)
Jk=oo
<
Sn<2bu
2k{ba)},
B.11)
DISTRIBUTIONS
17
P{a
=
< M~
<M+<b}
<Sn<b
<
E P{a + 2k{ba)
k=oo

2k{ba)}

E ?{b + 2k{ba)
Jk=oo
Sn
<
2b
2k{b
a)}
B.12)
and
P{Mn
<
6}
E P(D*
Jfc=oo
"
!N <Sn< D*
Sn<
DA:
3N}.
B.13)
Jk=oo
B.10), B.12) follows from B.11) taking u b. b and B.13) follows from B.12) taking a a,v To evaluate the distribution of Ii(n,a) 1,2,3,4,5) seems to be very (i hard (cf. Notations to the Increments). However, we can get some information about the distribution of Ji(n,a).
B.11)
is
a
simple
consequence of
LEMMA 2.1
Revesz,
p{n+j,n)
P{Il{n
j,n)
n)
3^T
a
(j
0,1,2,..., n).
sequence of
coin
tossing
length
Proof. Let
A
{I^n
j,n)
n}
and
Ak
{Sk+n
Sk
n}.
Then
A
Ao
+ +
A0Ai
+ +
A0AiA2
A0Ai
Aj^iAj
Ao
A0Ai
AxAi
AjiAj.
any
t
=
Since
P(A0)
2~n and
PiAoAi. ..M>i)
can
2~n1 for
1,2,... ,j
we
similar way.
18
CHAPTER 2
1,2,...
+
'
we
have
Bn
j, n)
n}
pBn
2n+l
j, n)
A
In
case
p(n
2,
n))^
P(n
j 1, n))
<
we
obtain
In
some cases
we
it is worthwhile to have
simpler formula.
For
example,
have
LEMMA 2.3
(Deheuvels

Erdos
<
Grill
Revest, 1987).
+
{j
for
2J*J
=
{j
2J2n~2
=
P{h{n
j,n)
n)
<
{j
2J"n
B.14)
anyn
details
1,2,....
is the
same as
The
are
omitted.
Zn (cf. Notations
Increments)
is also
known,
namely:
THEOREM 2.7
(Szekely
Tusnady, 1979).
where
Remark 1.
Csaki, Foldes and Komlos A987) worked out a very general method to obtain inequalities like B.14) .Their method gives a somewhat weaker result than B.14). However, their result is also strong enough to produce most of the strong theorems given later (cf. Section 7.3).
DISTRIBUTIONS
19
2.2
Limit distributions
(where
can
0 < an <
1)
be obtained.
THEOREM 2.8
1/2
the
Assume that
for
some
0 <
<
Then
(n\
2"jr>
where K that
K) log2A
K). If
we
also
assume
Especially
THEOREM 2.9
(Gnedenko
<x} *(z)
A
<
2m/2.
THEOREM 2.10
p.
517).
hm
*
hm
noo
Pjn1/2^
xn}
F{nl'*Sn
1
>
xn}
$(Xn)
=
noo
^y.
$(xn)
provided
that 0 < xn
can
o(n1/6).
as
Theorem 2.10
be
generalized
follows:
20
CHAPTER 2
THEOREM 2.11
p.
517).
Let
X{,X;,...
be
sequence
0,
E(X'J
\<
<
r
I,
Eexp(*X;)
<
oo
for all
t in some
interval
to. Then
lim
noo
P{n^S^
xn}
lim
F{nV*S;
1 +
>
xn}
$()
=
$()
+
provided that
0 < xn
o{n1/6)
where
S^
X{
X\
X*n.
THEOREM 2.12
p.
234).
<
lim
noo
F{n1'2M+
6
<
x}
P{\N\
x}
2S(z)
uniformly
in
R1 where N
lim
THEOREM 2.13
E(n/2Mn+)
B/ttI/2.
n'oo
uniformly
in
R1. Further,
lim
n00
P{n/Mn
1

>
xn}
G(xn)
77r
lim
n
Fjn^Mn
<
rr
x}
H{1)
where
provided that
0 < xn
o{nxl*).
Consequently for
>
any

> 0
?{nl'2Mn
>2A
xn}
>
e){l
G{xn))
DISTRIBUTIONS
21
>
xn}
<
e)(l
G(xn))
>
4A e) AI
^exp ^T,iJ
7T2
2\
1

rxp
(i^JJ
9tt2
2\1
B18)
if
0 < xn
(n1/6)
we
and
n is
6*flr enough.
=
Remark 1. As
is small
claimed
Finally
THEOREM 2.14
we
adequate.
we
1975, Goncharov,
For any
+
positive integer
have
P{Zn
where
o(l)
{lg iV}
lg
iV
Remark 2. As
we
can
be
proved
Stirling formula. Indeed this method (at least theoretically) is always applicable, it often requires very hard work.
more
Hence sometimes it is
convenient to
use
characteristic functions
or
other
analytic
methods.
Chapter
3.1
Recurrence
particle
One of the most classical strong theorems on random walk claims that the returns to the origin infinitely often with probability 1. That is
RECURRENCE THEOREM
We present three
1.
proofs
one
is based
on
the
lemma:
LEMMA 3.1 Let 0 < i < k. Then
for
=
any m>i
<
we
have
p@, t, k)
P{min{j : j
> m,
5,
0}
min{j : j
> m,
Sj
k} \
Sm
k~1(ki),
that
a
i} C.1) i).
i.e.
the
probability Clearly
we
before
k is
k1(k
Proof.
have
p@,0,*)
When the
l,
p@,M)=0.
particle is located
in
(i)
(ii)
from i
1 goes to 0 before
l,k)),
and from
it goes to i + 1
+ 1 goes to 0 before A;
24
CHAPTER 3
That is
p@, i, Ar)
(i
=
ip(O,
1,*)
a
ip(O, + 1,*)
i, being
1 in 0 and 0
linear function of
Proof 1 of the Recurrence Theorem. Assume that S\ 1, say. By C.1) for any e > 0 there exists a positive integer no such that p@, l,n) no(e)
=
probability that the particle returns to 0 is larger than 1 Hence the particle returns to 0 with e for any e > 0. probability 1 at least once. Having one return, the probability of a second return is again 1. In turn it implies that the particle returns to 0 infinitely often with probability 1.
1

1/n
> 1
if
> n0
Consequently
the
following
notations
Po P
1,
*{SU
0}
(*
A2k
q2k
Jk=O
oo
(Note
to the
probability
in the
particle
origin
occurs
Since p2k
before.)
have
oo.
Observe that
Jk1
{S2k
and
0}
A2k
Y, A2k2j{S2k
0}
Y{A2k2j{S2k
0}}
q2k2jp2j.
25
Hence
Po p2 P4 p6 P2Jk
1,
92, 94 + 92P2, 96 + 94P2 + 92P4, 92Jfc + 92Jk2P2 H
<
H 92P2Jk2,
'
'
'
equation by z2fc(2
1)
and
summing
up to
infinity
we
P(z)=P(z)Q(z)+l,
i.e.
Q{z)
Since
"
^T
and
Jim Q(z)
1.
returns to the
Q(l)
YtkLitek
once we
1 is the
probability
that the
particle
origin
at least
3.2
are
based
1
on
0 at least for
one
then
P{5n
Similarly
one can see
i.o.}
1.
one
that if
is
P{5n
0 at least for
n)
were
P{5n
see
that
i.o.} P{5n
0
would be equal to 0.
0
i.o.}
Recurrence Theorem it is
In the
we
equal enough
Hence without any calculation one can to 0 or 1. Consequently in order to prove the
to prove that
P{5n
i.o.}
> 0.
study of the behaviour of the infinite sequences of independent r.v.'s frequently realize that the probabilities of certain events can be only 0 or 1.
Roughly speaking we have : let Y\,Y2,... be a sequence of independent r.v.'s. Then, if A is an event depending on Yn,Yn+\,... (but it is independent from Y\, Yi,..., Yni) for every n, it follows that the probability of A equals either 0 or 1. More formally speaking we have
ZEROONE LAW (Kolmogorov, 1933). Let YuY2i... be independent r.v.'s. Then if A ? Q is a set measurable on the sample space of Yn, Fn+i,... for every
n, it
follows that
P{A)
=0
or
P(A)
1.
26
CHAPTER 3
Example 1. Let YUY2,... be independent r.v.'s. Then ?,li Y" converges a.s. or diverges a.s. Having the ZeroOne Law we present a third proof of the Recurrence TheoTheorem. It is based on the following:
LEMMA 3.2 For any
oo
<
<
b < +oo
=
we
have
=
P{liminf Sn
noo
a}
PlimsupSn
noo
b}
0.
3.2, the ZeroOne Law and the fact that Sn is symmetrically distributed clearly imply that
Lemma
P{liminf Sn
noo
oo}
P{limsup5n
noo
oo}
C.2)
which in turn
implies the Recurrence Theorem. Note that C.2) is equivalent to the Recurrence Theorem. In fact Recurrence Theorem implies C.2) without having used the ZeroOne Law.
the Recur
Chapter
From the
Strong
Law of
Large
Numbers
Logarithm
4.1
Borel
The

of almost all strong theorems are based on different forms of the Borel Cantelli lemma and those of the Markov inequality. Here we present the most
proofs
important versions.
BOREL which

Markov
inequality
sequence
of
events
for
Y%Li P(Ai)
Then
P{limsup An}
n
fl f>4 (ln=l.=n
)
P(^n i.o.)
events
0,
i.e.
with
probability

only
An
a
occur
simultaneously. of pairwise
BOREL
CANTELLI LEMMA 2 Let AUA2,... be oo. Then independent events for which Y^=\ P(^n)
=
sequence
P{limsup An)
noo
1,
i.e. with
probability

an
events
An
occur
simultaneously.
a
BOREL
CANTELLI LEMMA
2*(Spitzer, 1964).
27
Let AUA2,... be
se
28
CHAPTER 4
quence
of
events
for which
T P(/U
oo
and
liminf
*=^=*
j
< C
(C
>
1).
Then
P{limsupAn} >C~l.
noo
MARKOV
INEQUALITY Let X
be
nonnegative
<
r.v.
with EX
< oo.
Then
for
any A > 0
P{X
As
a
>
XEX}
\.
we
simple
inequality
an
obtain
<
oo.
CHEBYSHEV
any
INEQUALITY
Let X be
r.v.
with EX2
Then
for
P{X
NONACTIVATED VERSION EX A(E(X EXJI/2} P{(X EXJ A2E(X EXJ} www.avs4you.com Similarly

A > 0
>
>
<
we
get
an r.v.
with
E(exp(*X))
<
oo
for
some
t > 0.
Then
for
any A > 0
we
have
P{X
Borel

>
A}
P{exp(*X)
>
eAt}
<
5^.
can
inequality
be found
practi
practically
in any
probability
book
(see
e.g.
Renyi, 1970/B).
4.2
large
numbers
THEOREM OF BOREL
n^Sn
a.s.
D.1)
we
Remark 1.
Applying this
=
theorem for
dyadic expansion
x
obtain
limnoo n~1Nn(x)
1/2
[0,1].
In fact the
original theorem
29
of Borel
was
dyadic expansion
(t
2,3,...)
of
[0,1]
and
Nn(x,s,t)
first
n
(s
lim
noo
Nn{x,s,t)
n
(s
0,l,2,...,*l;*
2,3,...)
D.2)
x.
following:
s
=
Definition. A number
[0, l]
0,1,2,..., t
1;
2,3,...
D.2)
holds.
implies
(Borel, 1909).
Almost all
x
[0,1]
are
normal.
x
It is
interesting
to note that in
[0,1]
are
Hence
0,
EnS2
> 0
n.
Chebyshev
for any
Pdn^Snl >e}<
and
n~xe2
by
Borel
Cantelli lemma 1
n~2Sn3
Now
we
a.s.
(n
>
oo).
in the gap, i.e. between
lying
n2 and
(n
+
=
lJ.
If n2 < A: <
+
(n
IJ
then
lAT^I
\n*Sn*n*kx
A:E,
Sn,)
<
\n~2Sn,\
k~l{{n
lJ
n2).
tend to 0, the
A
proof is complete.
calculation
D.1). (Method
high moments).
simple
gives
and
Cantelli lemma
imply
the the
theorem.
As
on a
will
see
later
on
most of the
proofs of
are
based
joint application
30
CHAPTER 4
4.3
Between the Strong Law of Large Numbers and the Law of Iterated Logarithm
=
The Theorem of Borel claims that the distance of the particle from the origin after n steps is \Sn\ o(n) a.s. It is natural to ask whether a better rate can be
obtained. In fact
we
have
THEOREM OF HAUSDORFF
lim
noo
A913).
=
For any
0
a.s.
> 0
n1/2eSn
Then
=
Proof. Let K be
positive integer.
ES2*
Hence the Markov
0{nK).
inequality implies
>
If K is
theorem.
Similarly
nK+eK}

<
0{n~eK).
big that eK
one can
> 1
then
by the
Borel
Cantelli lemma
we
obtain the
was
THEOREM 4.3
lim sup
noo
n
.
<1
a.s.
n1/2logn
Proof. By
B.4)
we
have
Eexptn^S^e1/2
Hence
(n^oo).
P{exp(n1/25n)
>
exp((l
e) logn)
n1+e}
<
n/
if
is
w
.
<1
a.s.
n^'logn
and the statement of the Theorem follows from the symmetry of Sn. The best possible rate was obtained by Khinchine. His result is the socalled
Law of Iterated
Logarithm (LIL).
31
4.4
LIL OF KHINCHINE
A923).
Iimsup6n5n
noo
=
Iimsup6n5n
noo
limsup6nMn
noo
\imsup bnM+
noo
limsup6nM~
noo
a.s.
where bn
Bnloglogn)~1/2.
Proof. The proof will be presented in two steps. The first one gives an upper bound of lim supn_oo bnMn, the second one gives a lower bound of lim supn_oo bnSn.
These two results combined imply the Theorem.
Step
> 0
limsup6nMn
noo
< 1 + ?
a.s.
By B.16)
if
is
NONACTIVATED VERSIOND.3) (logn)1 P{Mn (l e)^1} <exp((l ?:)loglogn) www.avs4you.com big [0*] @ 1).
we
obtain
>
enough.
Let nk
>
Then
by the
Borel
Cantelli lemma
we
get
Mnk
for all but
<
e)b~l
+
a.s.
finitely
<
Mn
Mnt+l nt+l
e)bk+l e)b~lk+l
to 1.
<
2s)blk
<
2e)b~l
a.s.
provided that
We obtain
0 is close
enough
limsup6nTn
noo
< 1
where Tn is any of Sn,  Sn , Afn, Af+, Af". Observe that in this proof the gap method
was
used.
or
However,
to obtain
inequality D.3)
Theorem 2.13.
it is not
enough
to
have
to use
Step
2. Let nk
[0*] @
>
1).
> 0
"
Snk) >ls}>
32
CHAPTER 4
if A: is
we
{bnk+1 {Snk+1Snt)
>
A e)}
are
independent,
Cantelli lemma 2
"> a.8.
Consequently
Applying
the result
proved
in
Step
we
obtain
if A; and 0
are
big enough.
Hence
> 1
e a.s.
for any
e >
0,
which implies the Theorem. Note that the above Theorem clearly
limsupSn
noo
oo,
liminfSn
n~*
oo
a.s.,
which in turn
of Khinchine.
LIL OF HARTMAN
implies the
mention the
following strong
of the LIL
WINTNER
=
Let
YUY2,...
be
sequence
of
i.i.d.r.v.'s with
0,
E^2
+
"
1.
Then
limsup&n(Yi +Y2
noo
Yn)
a.s.
Remark 1.
then
Strassen
A966)
is
a
also
investigated
the
case
EYi2
EYi
a.s.
=
oo.
In fact he
0 and
EYj2
oo
Iimsup6nyi
noo
Y2
Yn\
oo
Later Berkes
one
has shown that this result of Strassen is the strongest possible 0 there in the following sense: for any function f(n) with limn_oo f(n)
A972)
exists
sequence
0,
a.s.
EYt2
oo
and
6n/(n)yi
=0
Chapter
Levy Classes
5.1
Definitions
us
n
the
particle
be from the
origin after
> 0
following:
(i)
for any
and
Sn
<
a.s.
(")
Sn
>
?)Kl
io
a.s.
Having
functions
(or
f(n)
a.s.
finitely
and the
many
n.
> 0
(ii)
claims
(i) tells us that A + e)b~l is such that A e)b~l is not such a function.
function for
However, one can prove that b'1 is not such a function but Bn(log log n + 3/2 log log log n)I/2 belongs to the mentioned class. In order to formulate the answer of Levy's question introduce the following definitions.
answer
a
is such
function
or
not.
Let
{Y(t),t
>
0}
be
ax(t) belongs to the upperupper class of {Y(t)} (at all w ft there exists aio to{u) > 0 such that
=
33
34
CHAPTER 5
Definition 2.
The function
a2{t) belongs
w
=
to
the
upperlower class
a
*
of
(a2
ULC(F(i)))
<
G 0 there exists
<
...
sequence of
positive
numbers 0
tv
ti(u)
<
t2
t2{uj)
with tn
oo
such that
Y(ti)
>
Definition 3.
The function
a3(t) belongs
u
=
to
the
lowerupper class
a
+
of
(a3
LXJC(Y(t)))
<
G Cl there exists
<
sequence of
positive
numbers 0
tx
ti[u)
<
t^
^(w)
with tn
oo
such that
Definition 4.
The function
aA{t) belongs
u
almost all
G n there exists
t0
to(uj)
> 0
such that
Yx, F2,... be
Levy
classes
UUC(Yn),
as
of
{Yn}
can
be defined in the
same
way
it
was
NONACTIVATED VERSION asymptotically Y(t) www.avs4you.com (AD) a4(t) LLC(Y(t)) ax{t) UUC(F(*))
is
above four
deterministic
G
if there
and
function
such that
limt,00
a4@ ai(*)
0.
Consequently
lim
too
a4m
Y{t)\
lim
t*oo
\ai{t)
Y(t)\
a.s.
Definition 6. The process Y(t) is quasi AD (QAD) if there exists a function ax(<) G U\JC(Y(t)) andafunction aA{t) G LLC(F(*)) such that limsup^^ \aA{t)
ai{t)\
< oo.
The definition of AD resp. QAD sequences of r.v.'s trivial reformulation of Definitions 5 and 6. Remark 1.
of the
can
be obtained
by
resp.
the
XJXJC(Y(t))
is the
complementer
the
ULC(Fn) resp. the ULC{Y{t)) and similarly the LUC(rn) resp. LUC(y(*)) is the complementer of the LLC(yn) resp. the LLC(F(*)).
LEVY CLASSES
35
5.2
Now

EFKP LIL
we
A942),
a(n)
Feller
Petrowsky A930
35)
theorem.
UUC(rn) if
only if
~a{n)
n=l
"
( a2{n)\
^J
< oo
where
Yn is
any
of n/2S^n'1'2 \ Sn ,
we
This theorem completely characterises the UUC(Fn) if consideration only nondecreasing functions and it implies
Consequence
1. For any
e >
0 +
Sn
for all but
<
(nBloglogn
n.
e) logloglogn)I/2
a.s.
E.1)
Here
LIL
finitely
many
Further
i.o.
a.s.
we
Proof of
Consequence
1. The
proof will
be
presented
in two steps.
many
a.s.,
n
Step
e >
finitely
Mn
<
E.3)
E.1). By B.16)
>
we
P{Mn
<
V 2tt
(nB log2 n
e) log3 n)I/2}
*
..
4A+41!
J2 log2
n
lo8n (log2 n)
V^
E.4)
Let
njk
=
fexp
we
/
get
Cantelli lemma
<
Mnk
{nkB log2 nk
e) log3 n^)I/2
a.s.
36
CHAPTER 5
finitely
Mn
<
< nk+l.
Then
Mnk+l
< <
E.5)
which implies
E.3).
following notations
=
Step
2. Introduce the
[exp
Blog2n Blog2n {n
y?(n) <p*{n)
An
3log3nI/2, + 6log3nI/2,
+
Then clearly
<
m we
have
V(AnjAnk)
>
>
<V{tp*{ni)>nJ1/iSn.>ip{ni)
P
XP
_[5ni{
Sn.
'
>
n^
<p(nk)
(r^iogj)*'*) + o(y1(iogy)5/2)
+ o
[o (rx(\ogjyy)
where
and
=

n.
LEVY CLASSES
37
Observe that
and
3

4
Hence
>
<p{nk)
'y/nkJnj
y/nk
>

y/*j
y/nk
if

3loglogy"\
rij 4
rij
log;
Since fxl
i^3! 3
1<
< 4
and if
<x\
x >
with
exp
m
=
exp
V log; log(y
j
log
1 +
for any
j big enough,
we
obtain
m
.
1/2
rij
( \rij
1
>
~
log
1 +
iog(y
m)
logy iog(y
1 4
1/2
\iogy
if 1
<
<
(log 4) logj,
and
1 1
,
> 1
exp
m)
if
>
(log4) logj.
38
CHAPTER 5
Similarly
1/2
Hence
?
and
>
O(m1/2)
if 2
log log;
<
<
(log 4) log;
E.6)
^()if (l4) li
In
case m >
<
<
we
obtain
and
;+log;(loglog;)
Having E.7)
P(An>AnJ
<
E.8)
calculation gives
arid
EP(ilJ=O(loglogJV).
Hence the Borel

Section 3.2
imply
simple
c(n)
LLC(n1/2S'n)
if and
only if Ix{c)
of
< oo.
LLC(5n).
any
n
In fact
d(n)
< 0
for
big enough.
see
Bingham
A989).
LEVY CLASSES
39
5.3
The laws of
Chung and
Hirsch
The characterization of the lower classes of Mn and M+ is not trivial at all. We present the following two results.
THEOREM OF CHUNG
A948).
The
LLC(n^M,,)
if and only if
h{a)
f; '(a(n))'exp (?")
A965).
The
< <*>
THEOREM OF HIRSCH
LLC(n/2M+)
if and only if
E.9)
V8
Remark 1.
Consequence 1.
proof of EFKP LIL is essentially the same as that of ConHowever, it requires a lemma saying that if a monotone function
The then
/()
The
UUC(Sn)
f{n)
>
6;1 /2
and if
/()
ULC(S'n)
then
f(n)
<
2b~x.
proofs of Theorems of Chung and Hirsch are also very similar to the above presented proof (cf. Consequence 1 of Section 5.2). However, instead of B.15) and B.16) one should apply B.17) and B.18).
5.4
When will
Sn is
a.s.
Sn be
>
very
big?
says that
very
big if Sn
Sn is
Define
a{n)
i.e.
max{k
n
0 < k < n,
Sk
>
&*1},
big. The
can
E.10)
EFKP LIL also
<x(n)
is the last
point before
n
where
we
Sk is
ask:
very
implies
that
was
a(n)
i.o.
a.s.

Here
how small
a(n)
be?
This
question
studied by Erdos
Revesz
A989).
40
CHAPTER 5
THEOREM 5.3
"*00
log
a(n)
n
=G
a.s.
where C is
positive
ry2
< fi <
ol4
Equivalently
a(n)
for all but finitely
many
n
>
nx~Sn
a.s.
where
Clearly
one
log n
log log
e.t.c.
These definitions of "very big" are producing different a's instead of the one defined by E.10). It is natural to ask: what can be said about these new a's?
It is also
interesting
to
value to
very small
one.
investigate the time needed to arrive from Introduce the following notations: let
very
big
a.\
01
oli
02
Define
a
k k k k
>
3, Sk
>
S^
Sk
0i, Sk
>
> ai,
<
b^1},...
sequence of
_
integers {nk} by
c
n\
o,
n/c
r.
itxjfcix
*+! l
iu \"'
o
">
q **>
n^
Sj
Hence
we
>
bj1
and Si
<
6,.
have
LEVY CLASSES
41
THEOREM 5.4
0k
for all but finitely
Very likely
a
< nk
a.s.
many k.
lower estimate of
0k
is also close to
nk
but it is not
proved.
<
Remark 1. The limsup of the relative frequency of those i's which Si > A eNfrl IS investigated in Section 8.1.
<
n)
for
5.5
A theorem of Csaki
Chung (Section 5.3) implies
n
The Theorem of
that with
probability
1 there
are
only finitely
many
for which
or
are
only finitely
\
many
for which
simultaneously
/ 2
i/2
V2
and
< e < 1.
At the
same are
probability
1 there
infinitely
for which
!/2
( B
8
log log n
In fact there
are
infinitely
many
for which
AC
Roughly speaking this
means
<
?
(smaller than

that if M+ is small
A?){8i*\" n)
) provided
that
then M~ is not very small (it is bigger than A n is big enough. Csaki A978) investigated the question of how if M+ is very small. His result is
e)(81o^gwI/2
big
M~ must be
a{n)
>
0,6(n)
~
> 0
be
<a(n)n^
and
M~ n
<b{n)n^ i.o.}
v
'
\\ [
A(a(n),6(n))
oo,
otherwise
42
CHAPTER 5
where
and The
c(n)
a(n)
b[n).
=
special case a(n) b(n) of this theorem also gives Chung's theorem. ForFormally this theorem does not contain Hirsch's theorem.
In order to illustrate what Csaki's theorem is all about
we
present here
two
examples.
Example
1. Put
a{n) =C(loglogn)1'2
and
< C <
ir/y/s)
0).

b{n)
Then
?>(loglogn)1/2
< oo
(D
<
>
and
J4(a(n), 6(n))
if D
tt/v^
if D
>
C.
1/2
1/2
=) (\
loglogn/
occur
and
M<D[^) Vloglogn/
n
infinitely
often with
probability
n
/
1 if D >
n/v2
C.
However, it is
not
so
if D
<
ir/y/2
C. That is to say if
is
\i/J
:
then it follows that
<c[\loglogn/
/
(o
<
c <
if
i Vs),
1/2
'n
>
D I
\\og\ognj
<
tt/v^
C.
Example
and
2. Put
a(n) b{n)
=
(logn)a
< a <
1) 0).
J?;(loglogn)1/2 {E
>
LEVY CLASSES
43
Then
J4(a(n),6(n))
and
< oo
if
0<a<l
and
E <
ttBA
a))~1/2
a))/2.
J4(a(n),6(n))
Observe also that
=00
if
0<
< 1
and
E >
ttBA
^((lognJ^FOogloglogn)1/2)
and
< oo
if
F<ir/V2
F
J^OognJ^FOogloglogn)1/2)
Applying
Csaki's theorem this fact
oo
if
implies that
and
M~ <
the events
{M+
res p.
<n1/2(logn)a n^logn)1
{M+
occur
<
and
M" <
Fn^logloglogn)/2}
infinitely often with probability one if E > 7rB(l a))/2 resp. However, it is not so if E < 7rB(l a))/2 resp. F < n/y/2. As we have mentioned already, Csaki's theorem states that if

r.v.'s
and M~ is very small than the other one cannot be very small. It is interesting to ask what happens if one of the r.v.'s M+ and M~ is very big. In Section 8.1 we are going to prove Strassen's Theorem 1, which easily implies that
e >
n/y/2.
of the
for any
0 the events
{Mn+>i^BnloglognI/2
occur
and
M"
>
^BnloglognI/2}
infinitely
often with
probability 1,
{Mn+>^BnloglognI/2
only finitely
many
occur
and
^BnloglognI/2}
one can
with
probability
0 and
general
say
e >
l/3<q<l
M~
but
>
the events
:
occur
>
e)gb1
and
<0^V
e)i
infinitely often
with
probability 1,
x
of the
>
events
and
M"
1.
A+
only finitely
many
occur
with
probability
44
CHAPTER 5
As
we
obtain
THEOREM 5.7 Consider the range Then for any e > 0 we have
M*n
walk{Sn}.
(l A
+

e)BnloglognI/2 e)BnloglognI/2
'2
UUC(M^), ULC(M^),
ir
'
Theorems 5.5 and 5.6 describe the joint behaviour of M+ and M~. We also ask what can be said about the joint behaviour of Sn and M~ (say). In order to formulate the
Let
answer
7{n),6{n)
question we introduce the following notations. be sequences of positive numbers satisfying the following
of this
con
conditions:
7(n)
monotone,
oo.
Further let
f(n)
nl/2tjj{n)
ULC(S'n)
with
t/>(n) 
oo.
Then
we
have
THEOREM 5.8
the
(Csaki
any
f(n)
nx^{n)
ULC(Sn)
function
g{n)
if and only if
nx'h{n)
UUC(M",n
f)
f{n)+2g{n)e\JXJC{Sn).
Further,
E
n=l
*()
n
wpf^<.
LEVY CLASSES
45
Remark 1.
all but
>
nl/2y(n)
>
UUC(M~,n
n
c)
n
means
that
nl/2y(n)
>
M~
a.s.
for
finitely
many such
for which
n1/'27(n)
V(n)
=
Consequence
1. Let
min(M+,M").
q
=
Then
/(n)
UUC(Vr)
if and
only
if3/(n) UUC(S'n).
Remark 2. Theorem 5.6 in
1. For other
case
g's A/3
< q <
1)
follows from the above Consequence Theorem 5.8 implies Theorem 5.6.
1/3
Example
3. Let
f(n)
(B
^nloglognI/2 @
< e <
2).
Then
we
find the
inequalities
n.
However,
( A
and
M~
>
I 1
e\1/'2\
1
I b~l
i.o.
a.s.
Section
Sn>(l)
if and
b1
and
M"
<n1/2(logn)"/2
i.o.
a.s.
E.11)
only
if rj <
e.
Chapter
Principle
6.1
Two lemmas
Clearly the r.v. a~1(S(k + a) S(k)) can be considered the particle in the interval [k,k + a). Similarly the r.v.
=
is the
largest
as
the average
speed of
average
of the
particle
in
over
a.
We know
an
oo) (Theorem 2.9) that a~xl'l{S{k + a) S{k)) is asymptotically (a behaves like a1/2 or by the LIL of Khinchine r.v. Hence + a) JV@,1) S(k S(k) S(k + a) S(k) L ! ashmsup^ tttt" Ba log log aI/2

a^oo
even
Ii(n, a)
a
cannot be much
bigger
than
a1/2.
In
an < na
@
,
<
<
'
1).
.
Then
<
limsup
noo
) na/2(lognI/2
a.s.
if
> 4.
Proof.
By Theorem
P
(c2 logn)
47
n"c2/2
48
CHAPTER 6
as n
oo.
Hence
f
and the Borel

Remark 1.
Section 7.3.
be found in
{XfJ; *
EXfJ=
1,2,...;/
1,2,...}
be
0,
EXj
<
tQ.
1,
Eexp(*XfJ)
for
for all
t in
some
=
interval
Then
positive
constant C
C(K)
such that
many i.
using
Theorem
6.2
assumption, that the particle goes at least one unit in a direction before turning back, is hardly satisfied by the real Brownian motion. In a more realistic model of the Brownian motion the particle makes instantaneous steps to the right or to the left, that is a continuous time scale is used instead of a discrete one. In order to build up such a model assume that in a first experiment we can only observe the particle when it is located in integer points and further experiments describe the path of the particle between integers. Let
{S(n)
integer points. Then
"refinement" of
we
SW(n),
a new
0,1,2,...}
particle when it hits
which is
a
define
Brownian motion
S^^n)
"re
S^(n),
i.e.
S^^n)
1/2
is
(i)
the
particle
moves
to the
right
probability 1/2,
49
(ii)
one
step is
1/4,
same
(iii) S^(n)
a
order
as
S^(n)
does.
the expectations of the waiting times to hit given integer are equal to each other. In order to construct a random walk which satisfies the above three conditions
S^(n)
and
S^(n)
let
{Sk{n)
be
a
Sk>1 (n),
0,1,2,...}
{k
1,2,...)
moving of the
sequence of
governs the
fo.i rkA
0,
inf{j
k
Sfc(y) =2}
=
[k
1,2,...),
Tk
ak
Tktl
Y,n,i {k

0,1,2,...),
S{1)
sign^S^)

S{k
l))Sk{Tk

Tk^)),
<
<
Observe that
www.avs4you.com
A) i
=
where
and t0
0,
=
tj, t2,... is
sequence of
io\
t2
*i
n+i
t'n
1. In other words
S^(n/4)
are
equal
as
to the
correspond
corresponding distributions
is
or a
of
S(n)/2.
This result
can
be formulated
follows:
S^(n/4)
Brownian motion with the property that the particle moves 1/2 to the right to the left with probability 1/2 and the time needed for one step is 1/4. Since
(*
0,1,2,...)
50
CHAPTER 6
we
say that
S^
is
refinement of
We define
a
S^(n/16)
of
S'A)(n/4).
Hence
we
define
also
sequence
{Sk,2{n),n
0>l>2,...}
of
if
7*_i,j
<
<
r4i2
sign
A:
(k
1,2,...)

where
at"
T^.2
70,2
((sC> g)
=
S<"
(^))
SW(T
7i,,))
?>,i2 (A;
i=o
0,1,2,...),
0,
It
can
be
easily
seen
that
and
Hence
say that
S^(n/16)
to the
is
right or needed for one step is 1/16. Further, S^ is a refinement of S^\ Continuing this procedure we obtain a sequence of random walks as follows: having {$(m> (n2m), n 0,1,2,...} defined, (S'(m+1)(n22m2), will be denned by: 0,1,2,...}
moves
particle
1/4
Brownian motion with the property that the to the left with probability 1/2 and the time
Mm)
(k
l\
,L>)c
where
(T
if
Tki,m+i
<n<
Tk,m+i
(fc
1,2,...)
_
4">
Tk,m+l
T0,m+l ri,m+i
sign
k
((s<"> (A]
(fc
=
S(~)
fci)V
=
^Ti.m+l
1=0
0,1,2,
...),
(/
0,
inf{j
5,m+i(i) =2}
1,2,...)
51
and
{SiiTn+i(n),n
0,1,2,...} (/
l,2,...;m
1,2,...)
is
double array of
that
and
=
V22+2;
Hence
we
S<'
\22;
say that
S(m+1)(n2"m~2)
the particle moves 2~(m+1) the time needed for one step is 2"Bm+2). Further,
A
Brownian motion with the property that to the right or to the left with probability 1/2 and
is
a
S'(m+1)
is
refinement of S^m\
Er,,w
and for any t0
> 0
4,
such that
there exists
C(t0)
Eexp(*rim)
if
C
<C
\t <
=
Applying Lemmas
> 0
t0.
>
0 there exists
such that
sup
<
a.s.
k2~'2m<K
m.
Hence
as m > oo
the sequence
(A;2m
called
a
< t <
(k
lJm)
W(t)
converges
=
uniformly in
[0, T]
to
continuous function
W(t,u)
? ft.
Wiener process. It is also easy to see that this limit process has the

(i) W(t)
W(s)
N{Q,t s)
for all 0
W{0)
0,
(ii) W{i) is an independent increment process that is ) W(t4) W(t3),..., W(t2i) W{t2i.x) are independent r.v.'s ti <t3<U<...<t2i.1 <t2i (t 2,3,...),

)
for all 0
<
tx
<
(iii)
the sample
is continuous in t with
probability
1.
(i) and (ii) are simple consequences (iii) was proved above.
(Theorem 2.9).
52
CHAPTER 6
6.3
Invariance
Principle
< rt < r2 <
...
as
follows:
1}, 1},...
ri+l
\nf{t
:t >
r^lWit) W(rt)\
Observe that
CO ^{ri),W{T2)
distribution
W{tx),W{tz) 1} P{V^(r1)

W{t2),... TiW^)
is
=
1}
1/2,
i.e.
{W{Tn)}
is
random walk,
(ii)
ri r2
~~
T\, Tz
r2,... is
for
B.5))
2 of
W()
we
obtain
'*
U~
dt.
F.1)
we
Evaluating
obtain
law of
large numbers
Er!
Because of
1,
Er.2
1
2,
lim
noo
n"Vn
of
a
a.s.
are
special
cases can
theorem of Skorohod
a
A961).
(i)
we
say that
random walk
be embedded to
Wiener process
(by
the Skorohod
embedding scheme).

Wintner
hmSUp
noo
This result
can
be formulated
a
as
follows:
THEOREM 6.1 On
a
rich
>
enough probability
and
a
Wiener process
{W(t),t
hmsup
noo
0}
random
T
< oo
a.s.
53
This result is
special
case
of
theorem of Strassen

A964).
Major

A much stronger result was obtained by Komlos A special case of their theorem runs as follows:
Tusnady A97576).
INVARIANCE PRINCIPLE 1 On
Wiener process define 0,1,2,...} such that
one
can a
rich
>
enough probability
space
{W(t),t
=
0}
and
random walk
\SnW{n)\
Remark 1.
A theorem of Bartfai
1
O{logn)
a.s.
A966)
and Erdos
Principle gives the best possible rate. In fact if and {W(t),t > 0} are living on the same probability space
a.s. we
As
obtain
THEOREM 6.2 Any of the EKFP LIL, the Theorems of Chung and Hirsch and Theorems 5.3, 5.4 and 5.5 remain valid replacing the random walk Sn by
a
Wiener process
W(t).
As
an
example
we
mention:
Let
Y(t)
be any
of the
processes
t~Xl2 6
otl^J I
Q<s<t
<;iin
IWMI ? v /1
t~l/2rn+(t)
L
t~1/2
sup
Q<s<t
WE),
W( <i\ ww loli
v
t~xl2 6
Jnf
1111
0<$<t
'
Then
V\JC(Y(t)) if
( a2(t)\
2
I at <
and only
if
("^J
a(t)
t
J\
exp I
oo.
Similarly
nonincreasing function
[a{t))~x
\AjC{t~xl2m{t))
if
and
only if
\dt<oc.
F.3)
Remark 2. In fact the EFKP LIL only implies that a(n) e UUC(F(n)) (n 1,2,...) if a() is nondecreasing and F.2) is satisfied. In order to get our Theorem
=
6.2
completely
we
have to know
something
about the
54
CHAPTER 6
we
have to
that the fluctuation supfc<tsupJk<J<Jk+1 \W(s) For example, the complete result can be obtained
see
W(k)\
cannot be
by Theorem 7.13,
Theorem 6.2 claimed that any of the strong theorems formulated up to now for Sn will be valid for W(). The same is true for the limit distribution theorems of Section 2.2. In fact
we
have
THEOREM 6.3
^
u}
2A
$(u))
1
(*
>
0,u
>
0),
? (l)*exP
Jfc=oo
U^f^l]
dx
we
give
a more
general
Principle
Major
Tusnady,
Let
f xdF(x)
0,
oo
Joo
f x2dF{x)

t
'
etxdF(x)
with
some
a
< oo
\<
t0
define
t0 > 0. Then, on a rich enough probability space {17,/,P}, one can Wiener process {W(t),t > 0} and a sequence of i.i.d.r.v.'s Y\, Y2,... with
=
<
x}
F(x)
such that
\Tn
where
W(n)\=O(log n)
a.s.,
Tn
Yx
Y2
Yn.
Chapter
Increments
7.1
Long
headruns
a a
teaching experiment in mathematics, T. Varga posed problem. The experiment goes like this: his class of secondary school children
In connection with
is
hundred times, recording the resulting head and tail sequence on a piece of paper. In the other section the children do not receive coins but are told instead that
they should try to write down a "random" head and tail sequence of length two hundred. Collecting these slips of paper, he then tries to subdivide them into their original groups. Most of the time he succeeds quite well. His secret is that he had observed that in a randomly produced sequence of length two hundred, there are, say, headruns of length seven. On the other hand, he had also observed that most of those children who were to write down an imaginary random sequence are usually afraid of putting down headruns of longer than four. Hence, in order to find the slips coming from the coin tossing group, he simply selects the ones which contain headruns longer than five. This experiment led T. Varga to ask: What is the length of the longest run
of pure heads in n Bernoulli trials? A trivial answer of this question is THEOREM 7.1
given
lim
N>oo
a.s.
lg N
where Zn is the
length of longest
headrun till N.
55
56
CHAPTER 7
Proof.
Step
1. We prove that
Iiminf%>1 lgjV
~
a.s.
Noo
G.1)
Let
< 1
be any
positive
t=[(l?)\gN],
Uk
St(k+1)
Stk
(k
0,1
are
i.i.d.r.v's with
1
p(^
Hence
t)
2*
i>(uQ<t,ul<t,...,uN<t)
and
a
(i^
gives
~N
I
<
OO
for any
> 0.
Cantelli lemma
implies G.1).
Step
2. We prove that
limsup:^r<l Ik N
N
a.s.
G.2)
Let
be any
[(l
fc
Sk+USk
{k u}
0,l,...,Nu
\J{Vk
Jk=O
positive integer
for which Te
=
> 1.
Then
P(Vt
consequently
u)
2"u,
oo
<
N2~u
and
INCREMENTS
57
Cantelli lemma
implies
ZuT
< 1
a.s.
G.3) '
<
(k
l)T
by G.3)
<
Zn
with
<
Z{k+l}r <{!
?) \g{k
1)T
2e) \gkT
Hence
<
2e) lgn
probability
finitely
many
n.
we
have
G.2)
as
well
as
Theorem 7.1.
A much stronger statement is the
following:
Let
THEOREM 7.2
numbers and let
(Erdos
Revesz, 1976).
{an}
be
sequence
of positive
n=l
Then
and
for
if
< oo,
if
=00
any
> 0
An
[lgn
lglglgn
lglge
e]
LLC(Zn).
G.7)
Example
1. If 6 > 0 and
<
Hence
lg n
<5) lg lg n
then
A({<})
<
00.
G.4)
and
G.7) together
\n< Zn<
say that
a*n
finitely
e
many
n}
1.
223
21048576
10315621 and
0,1 then An
1048569
<
1048598.
Remark 1.
G.7)
A
are
Clearly G.4) and G.5) are nearly the best possible ones.
the best
A980)
and Samarova
A981).
58
CHAPTER 7
i^n
Then
^gn
\g\g\gn
\g\ge
2.
liminf[Zn
noo
xjjn]
a.s.
It is also
at most
one
interesting
length
is of the
longest
be the
run
(or
at most
T,
1,2,...) (l)'s.
Let
Zn(T)
for which
Il(n,Zn(T))>Zn(T)2T
where
/i(n, a)
A
max
{Sk+a
Sk).
generalization of Theorem
7.2 is the
following: of positive
numbers and let
Then
{an}
be
sequence
ane\J\JC{Zn{T)) an e ULC(Zn(T))
and
if if
AT{{an}) ^T({an})
< oo,
=
oo
G.8) G.9)
for
any
> 0
Kn{T) Xn{T)
[lgn
Tlglgn
lglglgn
lgT!
lglge
1 +
e]
G.10)
lglge
2
e]
G.11)
Varga is: how many flips are needed of heads of size m? Formally speaking let Zm be the smallest
As
we
obtain
INCREMENTS
59
THEOREM 7.5
Am
Km
am e
am e
oo,
oo
<
where
am
Km
is the
Xm are the inverse functions of Km of G.6) resp. Xm of G.7) inverse function of the positive increasing function dm.
resp.
and
considering the pure headruns of size m one can consider any given run of size m and investigate the waiting time till that given run would occur. This question was studied by Guibas Odlyzko A980). Erdos asked about the waiting time Vm till all of the possible 2m patterns of size m would occur at least once. An answer of this question was obtained by Erdos and Chen A988). They proved
Instead of

and
> 0
lge
was
obtained by Mori
A989).
He
proved
> 0
)1 )1
e e e e
{2kk {2kk
We mention that the
{1 {1
?Jklglgk){lge)1 + sJk\g\gk){\ge)1

proof
the
following
limit distri
(Mori, 1989).
lim
2*/18sup
{2~kVk {
<
y)
e~e
0.
60
CHAPTER 7
In order to compare Theorem 7.7 and Theorems 7.2 and 7.3 it is worthwhile to consider the inverse of Vk. Let
Un
Then Theorem 7.7
max{k : Vk
<
n).
implies
For any
?
Corollary
1.
(Mori, 1989).
> 0 we
have
[lgnlglgnelge^^jJ lgn [
for all
but
<
Un
<
flgn L
lglgn
is
(l
e)
lge^^lJ 18n
a.s.
finitely
many
n.
Consequently Un
QAD.
Observe that Un is "less random" than Zn. In fact for some n's the lower and upper estimates of Un are equal to each other and for the other n's they differ
Clearly Un < Zn but comparing Theorems 7.2, 7.3 and Corollary 1 it turns out that Un is not much smaller than Zn. In Theorem 7.2 we have seen that for all n, big enough, there exists a block of size An (of G.7)) containing only heads but it is not true with Kn (of G.6)). Now we ask what the number is of disjoint blocks of size An containing only heads. Let un(k) be the number of disjoint blocks of size k (in the interval [0, n]) j if there exists a sequence 0 < ti < containing only heads, that is to say un(k) < ti + k < t2 < ti + k < tj < tj + k < n such that by
1.
Stt+kSt!
but
(i
1,2
j) (i
k.
Sm+k ~Sm<k
if
or
U + k
<
<
ti+l
n
1,2,... ,j
1)
tj
+ k <
<
The
very
simple.
e
THEOREM 7.9
(Revesz, 1978).
<
oo
For any
> 0
ai{?)
5: <*2
Q=2(e)
such that
hminf
noo
; <
lglgn
hmsup
noo
t:
lglgn
a2
a.s.
{for Xn
see
G.7)).
This theorem says that in the interval [0, n] there are O(lg lg n) blocks of size An containing only heads. This fact is quite surprising knowing that it happens for
INCREMENTS
61
infinitely
heads.
many
>
Kn containing only
Deheuvels
A985)
method to find
=
some
estimates of
ai(e)
and
In order to formulate his results let Zn >Z^]>... be Z^ run of l's observed in Xi, X2,..., Xn. of the second, third, the length longest
a~{s).
and let
...
Then
THEOREM 7.10
k > 1 and
(Deheuvels, 1985).
> 0
For any
integer
> 3
and
for
any
G.12)
(lg2n+
+
lgr_1n
+
lgrn)
ULC(Z),
[lgnlg3n [lgn
Remark 2.
and
In
case

1
as
G.14) gives
strong
as
G.6)
G.14)
G.15) together is
c"
<
oo
THEOREM 7.11
c[
< 1 <
Theorem 7.3.
Let
v
given,
be solutions
of
the
equation
cllogc
.
G.16)
Then
for
any
> 0 we
have
^1l
[lgn [lgn

lg3
+
+
e
lg2

\gc'v

+

lg3 n
lg2
a
lg<
e\ e)
G G
LUC(Zi"loBl), LLC(Z^*^).
original
(oral communication).
implies
i/n(/n)
a.s.
if
ln
>
Xn but
f limsupi/n([lgn+(H)lglgn])<
..
...
,,
...
if
f
6 > 0,
.
Now
we are
interested in
an(l formulate
our
simple
62
CHAPTER 7
THEOREM 7.12
(Revesz, 1978).
limsupi/n([lgn +lglgn])
noo
< 2
a.s.
G.21)
Finally
we
mention
few unsolved
problems (Erdos

Revesz, 1987).
P{ZW
zW
i.o.
1.
properties
0 <
limsup
noo
:
<
oo.
log log U
the
Problem 3. Let
be the
length of
longest tail
run, i.e.
is the
largest
r(n,k)=Q<mm_k(Sj+kS}).
How
7.2
can we
\Zn
Z^\l
Note that
by Theorem
limsup
noo
< 1
a.s.
log log Tl
=
and
clearly
P{Zn
Problem 4. Let
Un
Z*n i.o.}
1.
_0 11
if if
Zn<Z*n, Zn>Z*n
and
i.e.
longest head run up to n is longer than the longest tail run. ask: does lim,,.^ ?n exist with probability 1? In the case when \im.ntooXn a.s. then ?. is called the logarithmic density of the sequence {Un}.
=
Un
1 if the
We
=
INCREMENTS
63
Problem 5.
sequences
"word" in
1 <
independent coin tossing Xu X2,..., Xn and X[, X2,..., X'n. Let Yn be the longest common these sequences, i.e. Yn is the largest integer for which there exist a
(Karlin
Ost, 1988).
Consider two
kn< kn
Yn<n and
1 <
=
k'n
<
k'n
if
Yn
=
<
such that
Xkn+j
Karlin and Ost
is unknown.
Xk'r.+i
1> 2,
Vn
A988) evaluated the limit distribution of Yn. Its strong behaviour Petrov A965) and Nemetz and Kusolitsch A982) investigated the
common
=
same a
k'n.
In this
they proved
place,
i.e.
defined
7.2
This
The increments of
paragraph
is devoted to
Wiener process
processes
where at is
r.v.
speed
of the
as
0<3<ta
is the
largest
average
speed
=
of the
particle
>
in
@, t)
over
a.
2,3,4,5,?
a)
Ji{t,at)
<
min{J2{t,at),J3{t,at)}max{J2{t,at),J3(t,at)}
we
<
J4{t,at).
To start with
present
our
THEOREM 7.13
Let
at(t
>
0)
be
nondecreasing
function of
for which
t,
(i)
0 < at <
(ii) t/at
Then
is
nondecreasing.
any i
=
for
1,2,3,4
we
have
too
()
too
at) at)
W(t)\
W{t))
=
a.s.
t*oo
64
CHAPTER 7
where
=
[2at (log
at
log log t
If
we
have also
(iii)
lim
tK
(log at/) \
(log log t)
oo
then lim
too
itJi(t,at)
a.s.
In order to
see
the
we
present
few
examples.
Example
1. For any
>
we
have
lf
a.s.
1,2,3,4).
G.22)
law of
Example
Renyi
2.
lim
,:?_'*{l9
c
a.s.
(x
1,2,3,4).
G.23)
Example
< 1
In
case c
we
a
G.24)
is also
obtain the LIL for Wiener process (cf. Theorem consequence of Strassen's theorem of 8.1.
7.13 it looks
an
=
6.2).
Note that
Having Theorem
interesting question
1,2,3,4)
in
case
description
of the
required Levyclasses.
We
only present
the
following results:
THEOREM 7.14
Let
f(t)
be
continuous nonde
creasing function
7.13. Then
and
that at
satisfies
conditions
(i)
and
(ii) of
Theorem
f{t)
e UUC
(ar1/2J,.(*,at))
(r= 1,2,3,4)
INCREMENTS
65
Li?ip <*t
Further, if
_O!2
\
2
*<.
G.25)
^^
exp
I dt
oo
G.26)
f{t)
Remark 1. In
case
e ULC
(ar1/2Ji(t,at))
G.26)
=
(i
1,2,3,4).
with the
at
t condition
is
equivalent
corresponding
condition of the EFKP LIL of Section 5.2. However, condition G.25) does not t. Hence it is natural to conjecture that, produce the correct UUC in case at
by the convergence of the integral of G.26). It turns out that this conjecture is not exactly true. In fact Grill A989) obtained the exact description of the upper classes under some weak regularity conditions on at. He proved
in
general,
the UUC
can
be characterized
<
St
g(y)
>
is
as
>
oo,Co,C1
are
posi
Let
f(t)
>
0(t
0)
be
nondecreasing function.
Then
f{t)
if and only if
e UUC
(ar1/2(J,(*,at))
(*'
1,2,3,4)
<
oo.
we
present
few
examples.
Example
4. Let at
{\ogt)a (a

0).
+ 2
Then
"1
g(t)
a/log*
and
fp<e{t)
(
e
log*
2a) log21
if and
? logj. t + B + e) logp t
?
V"
p
=
UUC
(ot/2J,)
only if
> 0
(i
1,2,3,4;
3,4,5,...).
66
CHAPTER 7
Example
5. Let at
exp((logOa) @
+
<
<
1).
Then
g(t)
a(logO"
and
/p,,@
log t
2(log t)a
2a) log21
?
+ 2
? log, t + B + e) logp t
=
e UUC
(at/2J,)
=
if and
only if
> 0
(i
=
1,2,3,4;
and
3,4,5,...).
Example
6. Let at
ta@
<
<
1).
Then
</()
/p,@
I 2A
a) log t
+ 5
log21
+ 2
^ log,
e
* +
B
=
e) logp t
p
=
e UUC
(at~1/2 Ji)
=
if and
only if
> 0
(i
=
1,2,3,4;
3,4,5,...).
Example
7. Let at
at
<
<
1).
Then
</()
1 and
Pi
/p,@
log21
+ 5
log31
+ 2
? log, t + B + e) logp
only if
e
e UUC
if and
> 0
l,2,3,4;p
as
cover
the
case
>
1. As far
this
case
is concerned
present
THEOREM 7.16
to 0 and
(Grill, 1989).
as
slowly varying
Then
>
oo
t(l
0(t))
be
a
where
0{t)
is
decreasing
continuous
> 0
nondecreasing
function.
f{t)
if
and
UUC
(aJ^J^at))
{i
1,2,3,4)
only if
<
oo.
even
harder.
At first
we
present
nearly
big.
THEOREM 7.17
(Grill, 1989).
Assume that
INCREMENTS
67
1,2,3,4
we
have
LUL.
iCtj
Jt[t, (It) j
1/
< A,
where
logTr log

< <
Ki
Ki ^3
< <
4
7T
log4
<
<
log //
in addition either at is
<
lb
^4
<
of the form
at
=
Coexp
\ct
with
,.
or
log*7(* (
< 
_^
then
K1
K2
K3
<
\og,
4
log4 16
log7T,
4
^Kilogj.
Remark 2.
However,
A very similar result was obtained previously some of the constants given there are not correct.
8. Let at
=
by Revesz A982).
Example
erlologt@
=
<
<
oo).
Then
A(t)
Hence
..
(exp(rloglogO)(loglog)
.
oo.
Ji{t,at) 1 a.s. :; tttt too BatrloglogI/2 This result was proved by Book and Shore A978). If at is so big that the condition A(t) j oo does not hold the more complicated. We have two special results (Theorems 7.18
hminf
c
situation is
and
even
7.19) only.
68
CHAPTER 7
THEOREM 7.18
at
=
(Csaki
>
0,
i.e.
Ct(loglogt)
then with
probability
.
we
have
......
hminfJ1(*,at)
where T is
an
/ +oo
j_oo
if lf
C <
T,
C>T
If A(t)
>() then
lim inf

=/?(
t /
a.s.
and
at and is integer then Note that if at return to the discussion of this theorem in Section 8.1 in the
Remark 3.
at
The first part of Theorem 7.18 suggests the question. Does there exist a function at for which liminfj^oo
at
=
a.
We
case
when
<
<
following
0 a.s.?
THEOREM 7.19
(Csaki
0 then
1 < liminf
t*OO
<5() J4{t,at)
(*2
<
2>/2
a.s.
where
6(t)
Remark 4. In
=
[jJ
=
r1/2
case at
t, Theorem of Chung
liminf
that
6(t)J4(t,at)
However, this
Remark 5. Ortega and Wschebor A984) also investigated the upper classes of the "small increments" ofW(). These are defined as follows:
Mt,at)=
sup
0<3<ta,
{W{s
as)W{s)),
INCREMENTS
69
J7{t,at)=
sup
0<s<tat
\W{s
sup sup
a3)W{s)\,
+ +
JB(t,at) J9(t,at)
where a, is
a
sup sup
0<s<tat 0<u<a,
=
(W(s \W(s
u)u)

W(s)\
7.13.
0<s<ta, 0<u<a.
function
A983/B)
studied
In
paragraph.
B@k
for
a
large class of the sequences 0 < ak < /3k < Finally we present a result on the behaviour
oo.
of
J${, )
satisfies
condi
THEOREM 7.20
conditions
(i), (ii) of
(Csorgo
Revesz, 1979/B).
Assume that at
a.s.
where
Js{t,at)=
and
inf
Q<s<tat o<u<at
sup
\W(s
u)W{s)
'"I"
// (iii) of Theorem 7.13
is
KtJs{t,at)
a.s.
The
following examples
9. Let at
=
Example
us
a
^\ogt
hence
Kt
l{t
>
oo).
big enough,
< t at
0 <
s{t,?,u)
> 0
ft there exists
sup
\W(s
u) W(s)\
< 1 +
70
CHAPTER 7
[0,t
at\
with
sup
probability
\W{s
u)W(s)\>l?.
an s
At the
same
[0, t
at\
for which,
with
probability 1,
s+^Xogt} W{s)
but for all
s
[0,t
at\
\W{s
+
sup
u) W{s) 
<( + e) log t.
implies
^
Example
10. Let at
nH
\1/2su
J
Kt
e
0<3<t
Hence
we
hence
any
> 0
G ft there
s(t, e,uj)
sup
[0, t
at]
such that
o<u<(iogtI/2 That is to say the interval [0,t at] has a subinterval of length the sample function of the Wiener process is nearly constant; more
(logfI/2
s
where
precisely, the
?
fluctuation from a constant is as small as A + ?Or8~1/2(logt)~1/4. This result is sharp in the sense that for all t big enough and all we have with probability 1
sup
[0, t
at]
\W{s
u)
WE)
=
>
0<u<(logtI/2
?)^=(log01/4.
V
Clearly, replacing
we
the condition
a
at
(log?I//2
[0,
t
in
Example
of size
11
by
at
o(logt),
sample
subinterval of
at]
at
where the
function is nearly constant. Csaki and Foldes A984/A) were interested in the analogue problem when the term "nearly constant" is replaced by "nearly zero".
They proved
INCREMENTS
71
at
Theorem 7.13.
W(s
u)
a.s.
o<u<a,
also
satisfied
sup
then
?00
lim ht
inf
0<<ta0<uac
W(s V
'
u) "
a.s.
Example
12.
Letting
=
at
we
(cf. E.9)).
Example
13. If at
o(logt)
then ht
oo
and
0
while in
case
\W(s +u)
c
as
at
4c*7r~2 \ogt
lim
have
/it
>
oo
and
inf
tooO<<ta<
sup
\W(s V
'
u)\ ;l
c.
13 in
case c
1 and
\/2
Example
7.19 gave
=
behaviour of
weak law:
J,(t, at)(i
complete description of the strong 1,2,3,4). To complete this Section we give the following
a more or
less
THEOREM 7.22
(Deheuvels
oo.
G.27)
Then
for
any i
1,2,3,4 in probability
too
G 2g)
the
following:
72
CHAPTER 7
THEOREM 7.23
oo <
(Deheuvels
G.27).
y <
oo
we
have
exp(e~v)
(?
oo)
t/
2,3,4 and
>
exp(e")
we
(t
>
oo).
no
have
regularity
conditions
on
at
except
assume
G.27).
meaning of G.28) consider the
=
case
2 and
In this
In the
i^log log
t
' @<r<oo).
G.29) '
K
as
can
be
big
as
same case
Theorem 7.17
implies
that
can
be
as
small
as
BatI/2(rloglog01/2.
G.28)
describes the
condition of
G.29).
Namely
it behaves like
It is worthwhile to mention
an
equivalent
but
7.23.
THEOREM 7.24
t*
and
lim P
where
sup
\W(s
l)W (s)
\<f(y,t)\= exp(2e~v)
INCREMENTS
73
Let
us
give
processes
Ji(t,at) (i
1,2,3,4,5)
from
we
have to
assume
at.
simplicity
now on we
always
for i
assume
nondecreasing
in Theorem
=
(i)
and
(ii)
of Theorem 7.13.
./,(,) J5(, )
1,2,3,4
=
are
given
case
case i
1 and in
2,3,4
are
of the upper classes of J,(, ) (t 1,2,3,4) is given in Theorem 7.14 but there is a big gap in this theorem between the description of UUC( J,) and
A
description
i.e.
big class of very regular functions for which Theorem 7.14 does not tell us whether they belong to the UUC(J.) or to the ULC(J,). This gap is filled in by Theorem 7.15 if at satisfies a weak regularity condition. 1. This case is However, this regularity condition excludes the case at/t studied in Theorem 7.16. The abovementioned results do not tell us anything about Js(,). In case if at is not very big (condition (iii) of Theorem 7.13 is satisfied) a very weak result is given in Theorem 7.20. The lower classes of J,(, ) (i 1,2,3,4) are "almost" completely described if at <C tj log log t by Theorem 7.17. If at does not satisfy this condition Theorems 7.18, 7.19 resp. 7.20 tell something about the lower classes of Ji(, ), J^, ) resp. Js(, ) but we do not have a complete characterization and we do not have any
ULC(J,),
there is
>
results
(except
trivial
ones)
^O,')
and
Js(,).
7.3
By
The increments of
Principle
=
the Invariance
(cf.
Section
replacing replacing J, by J,(t 1,2,3,4,5)) provided that 'y is big enough or equivalently 7.21 resp. 7.14 7.17 remain an is big enough. In fact Theorems 7.13, 7.18 true if an logn resp. an (lognK while Theorems 7.23 and 7.24 remain true as they are. Hence we only study the increments of Sn in the case when 0 for any e > 0. Hindoo an(logn)~3~e

obtain that any theorem of the Wiener process by a random walk (i.e.
6.3)
we
(cf.also Example
THEOREM 7.25
noo
lim/l("'lgn)=l
lgn
a...
G.30)
74
CHAPTER 7
lgn
n^
logn
G.31)
Remark 1. and
Jx
are
different indeed if
O(logn)
of Invariance
(cf. A966)
1
on
Section
6.3)

is the
and Erdos
Renyi
A970).
Theorems 7.2, 7.3, 7.4 imply much stronger results than G.30) of Theorem 7.25. In fact we obtain
THEOREM 7.26 the behaviour of
/,(, )
on
{an}
we
get
(i) // for
some e >
on<
Then
[lgnlglglgn + lglge2e]
=
An.
many n, i.e.
is
AD.
An <an
Then
<
[lgn
lglgnlglglgn
is
lglge2<:]
=
An(l).
Ii(n,an)(i
finitely
1,2,3,4)
n.
QAD
and
7,(n,an)
an
or
an
a.s.
for
all but
many
(iii)
Let
An(l)
Then
a.s.
<an<
=
[lgn + lglgn + (l
is
e)lglglgn]
=
dn(l).
7,(n,an)(i
1,2,3,4)
QAD
and
7j(n,an)
an or an
or
an
many
n.
(iv)
In
general, if
=
dn(T)
then
[lgn + Tig lgn + (l + e) lglglgn] < an < An(T + 1) [lgn+(T+l)lglgnlglglgnlg((T + l)!) + lglge2e]
is
7j(n, an)
QAD
and
7,(n, an)
an
2T
or
an
2T,
and
if
An(T+l) <an<dn{T
then
l)
or
7,(n,an)
is
QAD
and
7;(n,an)
an2T4
an2T2
or
an2T.
INCREMENTS
75
essentially tells us that Ii(n,an) is QAD with not more than three possible values if an < lgn + Tiglgn for some T > 0. The next theorem applies for somewhat larger an.
The above theorem THEOREM 7.27 and 0 < T
=
Tan
<
(Deheuvels Erdos Grill Revesz, 1987). Let an an/2 be nondecreasing sequences of integers. Then

O(lgn)
an2TeLLC{Ii{n,an))
an

if
if if t/
n=l
? exp(2npBn))
n=l
< oo,
2T e
LUC(/,(n, an))
? exp(2npBn))
=
oo,
an2TeULC{Ii{n,an))
an
n=l
f) 2>Bn)
n=l
oo,
2TeUUC{It;(n,on))
f) 2>Bn)
<
oo
tu/icrc
Here
present
few consequences.
1. Let
an
lgn
/(n)
with
be
nondecreasing
Assume that
sequence of
positive integers
f(n)
o(lg n).
(i)
lim
noo
/ ^n~
(lgn)e
0 for any
an
e >
0.
Then
ai(n)
and
an
(ii)
Assume that
/(n)
Then
O((lgn)e)
a^n)

@<6<l).
an
such that
and
an
(iii)
Assume that
lim
n~>0
^
(lgn)
oo
for any
e >
0.
Then
/,(n,an)
is not
QAD.
76
CHAPTER 7
Consequence
2. Let an
[C lgn]
with C
> 1.
Then
eJ/9lglgnUUC(/i(n,an)), C(l2/?)lgn+(leJplglgn ULC(/,(n,an)), C(l 2/3) lg n 2p lg lg n Ap lg lg lg n+ + l + se LUC(/,(n,an)), C(l2/?)lgn2plglgn4plglglgn+ 4p lg(l 2/3) + 4p lg lg c + 2p lg 7T + Gp + 1 e LLC^n, an))

where
/?
equation
I^)C
2,
and
Remark 2.

stronger version of
an
earlier result of
the
following:
THEOREM 7.28
decreasing for
some
p > 0.
Steinebach, 1987). Let a^ be a sequence of where an/logn is increasing and an(logn)~p is Then for any e > 0 we have

anan
anan
tflogan
t~l logan t1 \ogan
+ + + +
anan^1logan
anan

C/2 +*)*;1 log log n C/2 e)t~l log log n (l/2 + e)^1loglogn A/2 e)t~l log log n

where
an is
the
unique positive
solution
of the equation
exp((logn)/an)
and
A
1
an)A+
1 + an
.

tn
Note that an
log2
an
INCREMENTS
77
In order to
study
the
properties
= '
of 1$ resp. min
max
lUn,an) SK n)
first
we
0<j<nan 0<i<an
\Sj+i\, ' }
'
mention that
by
the Invariance
=
Principle
sup
the
properties of J$
resp.
j;(t,at)
will be inherited if
remain true if Hence
0
we
inf
0<<a, o<u<at
an >
(lognK+e(e:
are
>
0).
J5
resp.
J5*
have to
study the
>
replaced by 75 resp./j and an > (lognK+e(e > 0). properties of 75 resp. /? only when an(log n)~3~e
>
have
Assume that an
(Csaki
Foldes, 1984/B).
lim
noo
satisfies
condi
(i)
and
(ii) of
an(logn)
oo.
Then
hnlc(n,an)
a.s.
J/ condition
=
o/ Theorem
7.13
is
a/so
a.s.
If an
[c log n]
> 1 as
then
we
have

THEOREM 7.30
a*
=
Let an
[c log n](c
>
0)
and
define
a*(c)
the solution
equation
if a*(c) is
not
an
integer
then
a.s.
*{c)l<r5{n,an)<a*{c)
for
all but
a.s.
finitely
many n, i.e.
II
is
=
QAD. Moreover
75*(n,an)
and
a{c)
=
i.o.
a.s.
75*(n,an)
a*{c)
i.o.
a.s.
78
CHAPTER 7
are
unknown when
log
<C an <
we
have
[clogn\(c
>
0)
and
define
a(c)
> 1 as
the solution
if a(c) is
not
an
integer
then
h{n,an)
\a(c)}
a.s.
for all but finitely many n, i.e. 1$ is AD, if a(c) is an integer then
a(c)
for all but finitely
1 <
75(n,an)
<
a(c)
a.s.
many n, i.e.
1$ is QAD. Moreover
=
and
a(c)
i.o.
a.s.
Is
i.o.
a.s.
Chapter
8.1
that
>
0 and
=
for almost
<ni
>
uj
? Q there exists
<
...
random sequence of
0 < i%i
We ask what
rii{e,u>)
n2(e,u>)
such that
can
(8.1) holds).
be said about the sequence 1,2,..., In order to illuminate the meaning of this question
=
that
we
prove
nk
Then
S([nk/2})
for all but finitely
Proof. Let 0 <
a
>
e)S{n>)
assume
^^(ftK))
a.*.
(8.2)
many k.
< 1
2e and
<
that
<
a^K))
Then by
S{\nk/2\)
>
[a + e)[b{nk))\
(8.3)
(8.4)
(8.1)
S(nk)

S([nk/2})
(l
2e)(b(nk))\
By Theorem 2.10 the probability that the inequalities (8.3) and (8.4) simultanesimultaneously hold is equal to O((lognik)2(a2+Aa2eJ)). a Observe that if a / 1/2 and e is small enough then 2(a2 + A 2eJ) > 1. Hence by the method used in the proof of Khinchine's theorem (Step 1) we obtain
79
80
CHAPTER 8
inequalities (8.3) and (8.4) will be satisfied only probability 1. This fact easily implies Theorem 8.1. Similarly one can prove that for any 0 < x < 1
that the
for
finitely
many k with
S{[xnk})>{le)xS{nk)
for all but finitely
many k.
a.s.
(8.5)
if nk satisfies (8.1) and k is big enough then the process will be close to the process {xS(nk);0 < x < 1}. It is
and it is
trivial consequence of
STRASSEN'S THEOREM 1
A964).
The sequence
sn{x)
is
bn{S[nx]
<
<
1;
1,2,...)
limit
of its
Qo
points is
of
(see
notations to Strassen type theorems). The meaning of this statement is that there exists
zero
probability
Property
there exist
event
C Q
prob
with the
following
two
properties:
1.
For any u> / Qo and any sequence of integers 0 < n^ < n2 < and a function / G S such that random subsequence nk.
=
...
snk,(x,uj)
Property
ft*
=
>
f(x) uniformly
u
in
[0,1].
a
2.
rik(u>,f)
G S and
? Qo
there exists
sequence of
integers
snk(x,u)
The Invariance equivalent to
>
f(x) uniformly
implies
in
[0,1].
equiv
Principle
1 of Section 6.3
STRASSEN'S THEOREM 2
relatively
where
compact in
C@,1)
A964).
{wn{x);0
of
<
<
1}
is
its limit
points
is S
wn{x)=bnW{nx)
Remark 1. Since theorem 1
(n
l,2,...).
S and
implies
/A)
< 1
f(x)
S, Strassen's
81
Consequence
TQ(?,u>)
> 0
u>
? Q there exists
To
W{T)
then
sup
>
e){b{T)Yl
for
some
>
To
<
W{t) "wants" to be as big in point T as be at all then it has to increase in @, T) nearly linearly (that is to say it minimize the used energy).
Consequence
1 tells
us
that if
it
can
has to
The
proof of Strassen's
a
on
the
following
a
three lemmas.
positive integer
,ad be
sequence
of
real
for
which
1=1
Further,
W*{n)
Then
limsup6nW*(n)
noo
a.s.
(8.6)
(8.7)
and
liminf6nW*(n)
Proof of this lemma is
1
a.s.
essentially
a
the
same as
gives

characterization of S.
LEMMA 8.2
(Riesz Sz.Nagy,
1955,
are
p.75).
Let
f be
real valued
function
on
[0,1].
The
is
following
two conditions
equivalent:
<
(i) /
absolutely
continuous and
Jo{f'Jdx
1,
and
is continuous
on
[0, l].
82
CHAPTER 8
In order to formulate
our
next lemma
we
introduce
some
notations.
C@,1)
and
interpolation
of
over
the points
i/d,
Sd
where Sd
C
{/(d)
S}
S by Lemma 8.2.
LEMMA 8.3 The sequence with probability 1 and the set Proof.
{w^(x);0
of
its limit
< x <
1}
is
relatively compact
in
Cd
points
is
Sd
By Khinchine's LIL and continuity of Wiener process our statement holds when d 2. For larger d the proof is similar 1. We prove it for d and immediate. Let Vn 1,2,...) and a,0 be real (W(n),WBn) W(n))(n numbers such that a2 + j32 1. Then by Lemma 8.1 and continuity of W the set of limit points of the sequence
I aW(n)
0(WBn) W(n)))
n1
J n=1
points
[l,+l].
This
implies
{bnVn}
is
boundary

(W(n),WBn)
W(n),W{3n)
points
of
W{2n)). {bnV^} is
same
way
as
ball of J?3 which contains the boundary of the unit sphere. This fact in itself already implies that the set of limit points of {6nVn} is the unit disc of R2 and
this,
in turn, is
equivalent
to
our
statement.
(x)
w^(x)\
also
<
sup
sup
\wn(x
s)
wn(x)\,
(cf.
Example
3 of Section
=
7.2)
a.s.
limsup wn(x)
wlf'(x)\
d~1'2
83
Consequently
we
by
we
also
use
the fact that Lemma 8.2 guarantees that 5 is closed. The discreteness of n is inessential in this Theorem. In fact if
we
define
wt[x)=btW{tx)
then
we
(i6[0,l],t>0)
have
STRASSEN'S THEOREM 3
A964).
The net
wt(x)
is
relatively compact
in
C@,1)
As
with
an
probability
in
of Strassen's theorem
=
sketch the
proof
of Theorem 7.18
at.
implies
a.s.
that
\ims\ipbtJi(t,at)
too
a1^2
which
can
be obtained
in Strassen's class S
<x<<*,
a<x<x
3 of Section
Ca
In
case a
=
liminf btJ\{t,
t*oo
=
at).
can
by considering s Considering the function f(s) f(s) @ 1) it is also immediate that Ca > a. Theorem 7.18 claims, however, that equality holds (i.e.Ca a) if and only if \/a is an integer; in other cases Ca > a. Now we show that the Strassen's theorem implies that
the function
=
C\
1 and this
be obtained
<
<
in S.
erf)
<
Ca
(B?" t ^ +
y
r{r
r
"
1)
l) J
(8.8) x{s)
=
x(s)
r
as
follows: if
I/a
(an integer),
<
then let
s.
I/a
+ t, where
into 2r + 1
0 <
[0,1]
u2,
ia
0,1,2,..., r
i
=
(i
r)a
0,1,2,
...,r.
84
CHAPTER 8
Let and
x(s)
be
continuous
piecewise
linear function
starting from
(i.e. x[0)
0)
having slopes
lr(r+l)V/2
r
., if
+ 1 \ar + 1t
u2t <
< u2t+1,
ar
+ 1
U2i.
It is
so
x@)
0,
x(s)
is
0 <
< 1 and
Jq x'2(s)ds
0 <
s
1. Since
a
x(s
we
a)
x(s)
Ca,
< 1
(8.8). Unfortunately we cannot accomplish the proof of Theorem 7.18 by showing that x(s) defined above is extremal within S. In Csaki Revesz A979) the proof was completed by some direct probabilistical ideas. The details

have
are
Strassen
few further
we
At first
Strassen's theorem
given by
1 and 2. If (p is
continuous funcand
R1 then with
1 the sequences
<p(sn(t))
sets of limit
\ims\ip<p(wn(t))
noo
\imsuip<p(sn(t))
n*oo
sup^>(x) zGS
a.s.
Applying
this
corollary
to the functional
<p(x)
where
jT1 x(t)f(t)dt
(*C@,l))
f(t) @
< t <
1)
is
Riemann
we
obtain
limsup
n*oo
=
JO
r1
wn(t)f(t)dt
1
n
limsup
nkx>
JO
/ sn(t)f(t)dt
sup<p(x),
r1
limsupV/
f i\

b(n)Si
(8.9)
85
and
by integration by part
we
get
i
Of (F(t))*dt)
o
/
1/2
.
(8.10)
implies:
^l^V
\Jo [I
in
particular
limsupn" 6(n)
z<
1^*1
n
=3
'
a.s.,
4tt~
a.s.
have to prove
only that
VJo
This
can
A
be done
we
by
an
elementary
Similarly
obtain
n)J^=
2p
a.s.
where p is the
largest

solution of the
equation
+
cos
A
A further
pj^sin (p^l
pI/2)
if
(A Pyl*p')

0.
< 1 and
application given by
Strassen is the
following.
Let 0 <
fi
'l
Si>c(b(i))\
\0
otherwise.
86
CHAPTER 8
n'1
?"_3
ct.
We have
Iimsup7n
Strassen also notes:
exp
(4( 1))
a.s.
example we get the somewhat surprising result that with probability 1 for infinitely many n the percentage of times i < n when 5, > l/2Bi'loglogi'I/2 exceeds 99.999 but only for finitely many n exceeds 99.9999." Finally we mention a very trivial consequence of Strassen's theorem.
"For
c
=
1/2
as an
{btm+(xt);0<x<l}
and the sequence
[t
>
oo)
;0
are
<
<
1J
(n
oo)
is
relatively compact in C@, l) with probability 1 and the set of their limit points the set of the nondecreasing elements of S. The analogous statements for m(t)
and
8.2
As
also valid.
have already mentioned, Khinchine's LIL is a simple consequence of Strassen's theorem 1. Here we are interested in getting such a Strassen type generalization of Theorem 7.13. At first we mention a trivial consequence of
we
Theorem 7.13.
Consequence
1.
lj
> 0
there exists
0 < t
=
To
T0(e,u)
T
To there is
corresponding
t(u,e,T)
<
ar such that
W{t
aT)
W{t)
>
e)G(r,aT))1
e){2aT logTa^I'2
(8.12)
provided that a? satisfies conditions (i), (ii), (iii) of Theorem 7.13. Knowing Consequence 1 of Section 8.1 we might pose the following question: does inequality (8.12) imply that W(x) is increasing nearly linearly in (t,t + ar)l The answer to this question is positive in the same sense as in the case of Consequence 1 of Section 8.1. In order to formulate our more general result introduce the following notanotations:
87
7(r,ar)(W(t
xaT)
VT
W(t)) @ Vt(uj)
:
<
<
1),
as
C@,1)

follows:
Vr
(I\r(z)
0 < t < T
aT},
^neighbourhood of

(iii)
C@,1)
and
e >
0 denote
a
?/(A, e)
be the
metrics, that is
an
continuous function
U(A,e)
Now
we
if there exists
a(x)
G A such that
present
THEOREM 8.3
exists
a
TQ
? Q and
for all
e >
0 there
U{VT{u),e)DS
and
(8.13)
(8.14)
U(S,e)DVT(uj)
conditions
us
satisfies
of Theorem
7.13.
(a) (b)
big enough
<
x
s(x)
aT such
TtiT(x)@
<
1)
will
for all T
x
<
big enough and for every 0 < t < T aT the function I\r(a:)@ 1) can be approximated by a suitable element s(x) G S. emphasize
that in Theorem 8.3
we we
<
We have to
(i),
get
(ii), (iii)
a
of Theorem 7.13. If
only
assume
conditions
(i)
and
at
=
(ii)
T.
then
we
case
THEOREM 8.4
=
(Revesz, 1979).
Assume that aT
u
almost all
G Q
satisfies conditions (i) and and for all e > 0 there exists a
VT{uj)cU{S,e)
Tq. Further, for
T
=
any
a
s(x)
=
S,
e >
0 and
for almost
all
u>
G Q there
exist
T(e, w, s)
and
0 < t
t(e, u>, s)
<
a? such that
sup
0<z<l
\VttT{x) s{x)\
<e.
88
CHAPTER 8
important difference
we
0 < t <
we
stated that for every T big enough and for every s(x) G S T ax such that Tt>T(x) approximates the given s(x); while
only stated that for every s(x) G S there exists a T (in fact there exist infinitely many T but not all T are suitable as in Theorem 8.3) and a.0<t<T ax such that Ttj(x) approximates the given s(x).
in Theorem 8.4
(condition (iii) holds true), then for every T (big enough) the random functions Ytj{x) will approximate every element of S as t runs over the interval [0, T ay]. However, if ar is large then for any fixed T the random functions I\x(a:)@ < t < T ar) will approximate some elements of S
In other words if ar is small
approximated when
T is also allowed to
8.3
theorems
Property
any
e >
that
can
be reformulated
0 and
for almost
G H there exists
an
integer
G
no
and
if
> no,
equivalently
there exists
sequence en
en
0 such that
sn(x,uj)
for all but finitely
U(S,en)
n.
and
wn(x,uj)
U(S,en)
a.s.
many
A978).
possible en sequences in This question was proposed and firstly investigated by better result was given by Grill A987/A), who proved
can we
characterize the
^Mn)
Then
sn(x)
for all but finitely
U(S,tl)s[n))
n
and
C/(S,^(n))
>
a.s.
many
if
6 <
2/3;
and
while
for 6
2/3
io.
a.s.
sn{x) ? U(S',^(n))
^n(^) ^ U(S,tl>s{n))
89
Clearly Theorem 8.5 implies Property 1 of Section 8.1 but it does not contain Property 2 of Section 8.1. As far as Property 2 of Section 8.1 is concerned one can ask the following question. Let f(x) be an arbitrary element of S. We know that for all e > 0 and for almost all u> Q there exists an integer n n(e,u) resp. n n(e, u) such that
=
sup
0<z<l
\sn(x)
f[x)\
<
resp.
sup
0<z<l
\iVn{x)
f(x)\
<
e.
Replacing e by en in the above inequalities, they remain true if en  0 slowly enough. We ask how such an en can be chosen. This question was raised and studied by Csaki. He proved
THEOREM 8.6
(Csaki, 1980).
For any
<
f(x)
S and
c >
we
have
sup
0<x<\
\wn(x)
f(x)\
c(loglogn)/2
i.o.
a.s.
and
>
a.s.
o<z<i
many
< 1
n.
Jq (f (x)Jdx
and
then
stronger result
can
be obtained:
<E
THEOREM 8.7
a
(Csaki,
1980, de Acosta,
1983). If f{x)
S,Jo{f'{x)Jdx
< 1
c >
0 then
sup
o<x<i
\wn(x)
f(x)\
<
4A
rrjr
i.o.
a.s.
and
many
n.
fo[f'(x)Jdx
f(x)
1 the best
a
functions. Let
be
possible rate is available only for piecewise linear continuous piecewise linear function with /@) =0 and
fa if
a,_i < x < a,
f'(x)
where a0
=
(t
1,2,...
have
fc)
0 < ax <
...
1. Then
we
90
CHAPTER 8
THEOREM 8.8
1 then
is
defined
as
above and
f*(f'(x)Jdx
i.o.
a.s.
for
sup
any
s >
0<z<l
\wn{x)
/(x)
<
^IZ2SIZB~1IZ{1
e)(loglogn)/3
and
sup
0<z<l
\wn{x)
f{x)\
n
>
^lz2hlzBl'z{l
e)(loglogn)/3
a.s.
for
all but
finitely
many
where
imply
/?
<
2/3
a.s.,
W[t)
if t is
<
(Bloglog + (loglogI^)I/2

(8.15)
big enough
resp.
i.o.
a.s.
and
clearly
they
are
much weaker
1 of Section
<
x
5.2).
we
Applying
<
1)
obtain
(8.16)
as
special
case.
Remark 3. It looks
an
interesting question
generalization of Section 8.3, i.e. to investigate the rate of This question was studied by Goodman
a common
to find
Remark 4. Csaki
1
generalization
(and
of
course
8.4
We have
A theorem of Wichura
seen
LIL. Wichura
proposed
to find
similar
natural
Other LIL
(cf. E.9)).
He
proved
91
WICHURA'S THEOREM
sequence
Consider the
ypM J
(n
=
) )
u
H;
0< u<
1,2,...)
tit(u)
Let
 1 logl"
^V
l
sup
*<
\W(tx)\;
0 <
< 1
}> (t
J
on
>
oo).
6c t/ic set
[0, l] satisfying
i:
probability 1, the set of limit points of sn(u) topology, as n /* oo resp. t / oo is Q.
Remark 1.
In order to
see
Then with
resp.
iOj(u)
in the weak
implies
we
only
>
for any
Chapter
9.1
Let
Exact distributions
k} {k .)
Px(fc) =min{n:5n
Then
1,2,..
Hence
by Theorem
obtain
THEOREM 9.1
(fc
l,2,...,n
l,2,...).
j=x[~2~y
Especially
Consequently
1)
2m +
1}
22~1(m + I)
^
even
(9.1)
Note that
/?iBA:
1)
/?iBA:)
93
takes only
numbers.
94
CHAPTER 9
p0
0 and pk
I5
min{j
> pki,
S}
0}(/c
1,2,...).
p\,pz
P2,
sequence
of x.i.d.r.v's wxth
1
I
p/_
^
Ot\
J
O2*+1i1 I
\ Ic \
/
ft
(Q O\
and
>
2n)
2'2n[ n)
P{52n
0}.
Proof. The statement that Pi,P2~ Pi,Pz~ P2,values is trivial. Hence we prove (9.2) only.
are
i.i.d.r.v.'s
taking only
even
J>{Pl
Clearly
2k}
ip{Pl
2
=2k\Xi
+1}
\p{pi
&
=
2k\Xx
1}.
Hence
simple
2k
 Xx
+1}
PI/?!
2A:
 Xx
1}
=2k
by
we
have
consequence of
Remark 1. A
f
Hence the
new
2k)
particle returns to the origin with probability 1, i.e. we obtained a proof of Poly a Recurrence Theorem of Section 3.1. However, observe that
i.e. the
recurrence
is infinite.
a
Consider
random walk
{5*; A:
0,1,2,...}
during
given x(x
0,
1,2,...)
was
visited
and observe how many times the first n steps, i.e. observe
=
?{x,n)=#{k:0<k<n,Sk
The process
x}.
f (a:, n) (of
two
variables)
{Sk}.
95
0,1,2,...,
+
n;
1,2,...
=
we
/iave
n)
Equivalently
k}= P{?@,2n
1)
*}
*i
>
2n}
P{e(O, 2n)
<
A:}
2"
^
i=o
2'
(on
V
A J
.
Proof.
that the distribution of pi is identical with that of pi[l) +1. k is identical to that of Pi(k), i.e. It follows that the distribution of pk
(9.3) implies
k>n}
Further,
we
have
P{pk
<
2n,pk+1
>
2n)
which
9.3
we can
n).
In fact
we
have
x >
0.
1,2,...
,n)
k}=
j=x
j;*P{e(x,n)
 Pl(x)
J=X
and
for
l=n+l
'
96
CHAPTER 9
Theorem 9.3 gave the distribution of the number of zeros in the path So, Si,..., S^n+i We ask also about the distribution of the number of those zeros where the
path changes
its
sign.
Let
=
0(n)
be the number of Theorem 9.3
we
#{A;
1 < k <
n,Sk.xSk+i
Then
as
<
0}
trivial consequence of
obtain
THEOREM 9.5
P{0Bn
!)=*}
? P{0Bn
j=k
l)
 ?@,2n)
=
j}P{?@,2n)
j}
22n
\n +
2P{52n+1
=2k +
1}.
=
P{5jfe_i5jfe+1
< 0
 5*
0}
1/2.
Si
>
Proof. It is
1, 2,... and 1
0,1,2,...
we
have
(9.4)
)'
=
(95)
(9.6)
Then
l,
E(?(A:,p1)lJ=4A:2.
we
generality
=
may
=
assume
that k
> 0.
{?(*,*)
Hence
o}
{Xi
3.1
1}
{Xi
by Lemma
1 A:
2A;1
97
and
(9.4)
is
For any
x},
=
pi+1{x)
Then in
case m
inf{/
>
Pi{x), S,
x} (i
0,1,2,...).
> 0 we
have
{t[k,Pi)
m}
{0
<
Pl(k)
<
P2{k)
<...<
pm[k)
<Pl
3.1
P{(*,*)
I
2l
~
[E {
\
2k
) B) (j
and
2k
and
is the number of those terms Define the r.v.'s ftn as follows: f2n of the sequence 5l5 S2,..., ^n which are positive or which are equal to 0 but the preceding term of which is positive. Then ftn takes on only even numbers and
=
\2k)
by
B*)(^lfJB
Proof.
(*
0,l,..,).
(97)
{f2n
Hence
0}
{M2+n
0}.
by Theorem
2.4
\2~2n,
n
i.e.
(9.7)
holds for k
0. It is also easy to
on n.
see
that
(9.7)
holds for
n
1, k
0,1.
Now
we use
induction
true for
<
Nl and consider
98
CHAPTER 9
1 then the 2k and 1 < k < N If <;2N ,S2N has to contain both positive and negative terms, and sequence SX,S2, 21. Then either Sn > 0 thus it contains at least one term equal to 0. Let pi
=
2k}
1.
for
the
<
21 and S2i
or
Sn
< 0
for
<
21 and 52j
0. Both
possibilities have
probability
(cf. (9.2)).
Now if Sn > 0 for n < 21 and S2l numbers S2l+i,... ,S2N there are 2k
=
0, further if $2N
21
<
in
case
Sn
< 0 for
ones
2k, then among the preceded by a and $2N 2k, the number
=
or
zeros
=
W
+
1
2/}P{f2*_2,
=
2k
21}
\fl p(^i
1=1
2OPU2**
2A;}
and
we
by
an
elementary calculation.
up to
*Bn)
max{Jk
0 < k < n,
we
S2k
0}
have
THEOREM 9.9
Proof.
Clearly by Theorem
=
9.2
P{#Bn)
2k}
P{S2k
0}P{Pl
> 2n
2k}
P{52Jfe
0}P{52n_2Jfe
0}.
The distribution of the location of the maximum also agrees with those of fn and \&(n). In fact we have
fi+{n)
inf{k:0<k<n
for
which
S{k)
M+(n)}.
99
Then
(B[k/2]\Bn2[k/2\\
P{M+Bn)=A;}
=
[m){n[k/2]J
2n n
A;
0.
Proof.
Clearly
the number of
paths
for which
is
equal
to the number of
{Si
Hence
>
0,52 >0,
P{M+Bn)
Sk, Sk+1
<
Sk,..., S2n
<
?!
>
0, S2
>
0,..., Sk
>
>
0,..., 52n_jfe
>
Then
we
by
Theorem 2.4.
9.2
Limit distributions
exact distributions and the
Stirling formula
we
obtain
*\
1*1.
av,
[\).a)
(9.9)
where
\&k\
<
1,
(9.10)
1Oo
CHAPTER 9
n>oo
HmPJn^eCO.n)
I
<
x\
j
lim P
n>oo
{nl<2t[z,n)
.
<
x}
'
e'u2/2du
(z
l,2,...),
(9.11)
J
=
n~>0
r>0
arcsinV*
7T
< x <
1).
(9.12)
by
Remark 1.
(9.12)
(9.12)
we
obtain
n00
limp(o,45< ^
(^
<
<
0,55} )
0,063769...
and
lim P
0,
a long time on the lefthand side of the line and probability the side or conversely but it is very unlikely that only a short time on the it spends the same (or nearly the same) time on the positive and on the negative
improbable implies (9.7) NONACTIVATED VERSION probable particle spends www.avs4you.com righthand
and the most
of ftn als values
l}
lim P
(^ 0,9}
>
0,204833...
value
a
are
big
side.
9.3
Wiener process
that the number of the time points before any given T, where a Wiener process W is equal to a given x, is 0 or 00 a.s., i.e. for any T > 0 and any real x
see
It is easy to
#{*:0<
Hence if
process
we
<T,W(t) =x)
then
we
0oroo
a.s.
adequate definition than the number of time points. P. Levy proposed the following idea. Let H(A,t) be the occupation time of the Borel set A C R1 by W() in the interval @,t), formally
spends in
(or nearby)
have to find
a more
H{A,t)
\{s:s<t,W{s)
101
where A is the
Lebesgue
measure.
For any fixed t > 0 and for almost all u; Cl the occupation time H(A,t) is a measure on the Borel sets of the real line. Trotter A958) proved that this
measure
Radon
absolutely continuous with respect to the Lebesgue measure Nikodym derivate rj(x,t) is continuous in (x,t). The stochastic
is
and its
process
ri(x,t)
(It
spends
first aim is to
77@, t).
and t
> 0
9 7T
> 0
rz
1
Jo
=
(9.13)
t{
(N) '
sequence 0 < T\
< r2
r2v
(N) ;
<
...
r2
N1},
ri+1
* > r.,
(cf.
Skorohod
embedding scheme,
Section
6.3)
=
and let
siN)=W{rk)
u
=
(A;
:
1,2,...), 1}.
u^N)
a
max{i
r, <
Ti,... is
Et"!
N~2 and
ErJ
<
00
(9.14)
=
= =
6.3). (rj,rl+i) will be called type (a,6) (a jiV,^ a\ N1,j 6. The infinite random set of those a and 0,1,2,...) if \W(Ti)\ W(ri+i) j's for which (r,,Tj+1) is an interval of type (a, 6) will be denoted by I^(a,b) I(a, 6). It is clear that W(*) can be smaller than JV if t is an element of an
The interval
=
(cf. F.1)
and Theorem
interval of type
A
(O,^), {N\0)
=
or
(iV^^).
Let
U
AW
{i:0<i<u,ie /(O,^)
102
CHAPTER 9
(9.14)
1
a.s.
7Ti)
(In
4.2;
fact
(JVoo).
(9.15)
(9.15)
can
be obtained
to obtain it
by "Gap method"
to be
hard.)
Studying
W()
in intervals of type
=
(N~l,2N~1),
we
obtain
5>(O,rl+1)r7(O,r,))
for any N
=
a.s.
(9.16)
1,2,... where
B
=
BN
{i
0 <
<
u,i
I{N~X,2N~1)}.
w
(9.17)
an
((9.16) follows from the simple fact e0 eo{u,N) such that  W(t) > e0
=
fl there exists
U.esK^.+i))

Hence
N^
Jim
a.s.
iA
Then, taking into account that limjv_oo N~2uN (9.18) combined imply that
www.avs4you.com
=
1 a.s.,
(9.11), (9.15)
and
Jl[X
and Theorem 9.12 follows from
any T > 0
(9.19)
simple transformation:
for
(9.19)
{r,[x,tT),x
Theorem 9.12
R\0 <t<l}
(9.20)
R1
we
have
R1,
T > 0 and
> 0 we
have
103
To evaluate the distribution of 77 (t) was done by Csaki and Foldes A986). THEOREM 9.14
s\ip_O0<x<O0rj(x,t)
They proved
is much harder.
This
where 0 <
j\
<
j2
<
...
are
=
the
positive
zeros
(roots) of
the Bessel
function
Jo(x)
Io(ix)
and
for
ak
any k
1,2,...
4
=
.
sm
j*
6,
I]
Jk7rJ0(A;7r)
\J0{kn)) ]
'
Ji(A;7r)
Furthermore
<z^aiexp
as
0.
Remark 1. The proof of Theorem 9.14 is based on a result of Borodin who evaluated the Laplace transform of the distribution of t~ll2r){i).
A982),
Chapter
10
Principle
10.1
An Invariance
Principle
f(:r,n)
of
a
The main result of this Section claims that the local time walk in
can
random
be
process
uniformly
x as n
THEOREM 10.1
Then on the defined on a probability space can define a sequence Xi, X2,... of i.i.d.r.v. 's with
1/2
such that
In fact
we
have
be
same
lim
n>oo
rT1/4~esupf(:r,n)
x
r)(x,n)\
=0
a.s.
A0.1)
of
W
for
> 0
is
=
taken
over
all
Xi
X2
H
we
integers, h Xn.
prove
simplicity, instead
lim
n>oo
of
A0.1)

only
a.s.
n<~ef@,n)
ri@,n)\
=0
A0.2)
idea.
for any e > 0. The proof of A0.1) does not require any tiresome calculation is needed. Proof of
6.3.
new
Only
a more
A0.2).
r0
...
{Sk}
Further let 1 < fix < \i2 < {W(rk)} visits 0, i.e. let
=
be the
timepoints
Mi M2
min{Jk : min{A;:
k k
> >
0, W{rk)
Sk
fiuW[Tk)
105
0}, Sk 0},
= =
106
CHAPTER 10
Mn
min{A;
>
Hni,W{rk)
Sk
0},
Then
f@,n)
and
max{A;
\ik <
n}
@.*)
The
proof of Theorem
9.12
implies
Hence
()
F.1) easily implies
Then that
r*
=
a.s.
(k
oo).
(it'+e)
a.s.
easily
follows from
a.s.
A0.3)
and
sup
(k*+)
a.s.
{k
>
oo).
A0.4)
A0.3)
more
and
A0.4)
can
general
results
are
Remark 1. It turns out that the rate of convergence in Theorem 10.1 is nearly the best possible. In fact Remark 3 of Section 11.5 implies that if a Wiener
process
W()
and
random walk
{Sn}
are
defined

on
the
same
probability
space
then
limsupn~1/'4sup^(x,n)
n>oo
x
?7(x,n)
same
> 0
a.s.
A0.5)
a
However,
the
answer
to the
following question
are
Wiener
process and
random walk
defined
on
the
probability
a.s.
space and
n*oo
lim n~a I f @,
n)
r\
@, n) \
What
can
be said about a?
107
Remark 2. It
can
be also
proved
W(t)
can
that in Theorem 10.1 the random walk Sn and be constructed so that besides A0.1)
a.s.
\SnW{n)\ =O(logn)
Km'P{n1t2?{n)
for any
z
<
z)
=P{r?(l)
Theorem
<
z)
A0.6)
> 0
where
f(n)
maxx
?(x,n) (cf.
9.14).
10.2
A theorem of
us
Levy
are
(or
more
or
that the properties of the process ?(x,n) less the same) as those of rj(x,n). In other words
one
the
same
behaviour of
of the processes ?(x,n),ri(x,n) we can that the behaviour of the other process is the same. The main results of the
those of Let
m+(n)
will be inherited
NONACTIVATED VERSION M+(n) M+(n) m+(n). f@, n) rj@,n). www.avs4you.com y{t) =m+{t)W{t) (t>0)
us
that the
properties of f@, n)
resp.
resp.
rj@,n)
the
same
resp.
proved
for
resp.
by
and
Y[n) =M+{n)S{n) (n
Then
a
0,1,2,...). (see
for
A981),
as
follows
example, Knight
{y{t),m+{t);t
i.e. the
t >
>
0}l{\W{t)\,r,{0,t);t
>
0},
finite dimensional distributions of the vector valued process {y(t), m+(t); 0} are equal to the corresponding distributions of {\W(t)\,ri(Q,t);t > 0}.
see
In order to
the
we
applying
a
(Section
also Theorem
6.2)
m+(t)
as
trivial
we
obtain
Consequence
1.
limsup
too
B* log log*I/2
/^
=1
a.s.
A0.7)
108
CHAPTER 10
In fact the
Levy classes can be also obtained for rj(Q,t). Applying Theorem 10.1, Consequence 1 in turn implies
2.
Consequence
=1
fl
a.s.
A0.8)
is due to
Remark 1.
Chung and
of
a
Kesten
A965). A0.8)
A natural
10.2 in the
true
case re
random walk?
if
we
replace W(t),y(t),m+{t),rl{0,t) by S{n),Y{n),M+{n) and f@,n) respectively? The answer to this question is negative, which can be seen by comparing the
distributions of
In
f@,2n)
and
M+[2n) (cf.
fact
we
9.3).
spite
of this
disappointing
we
have
Xi,X2,... be a sequence of i.i.d.r.v.'s with 1/2 defined on a probability space 1) P(Xi {fi, J,P}. Then one can define a sequence Xi, X2,... of i.i.d.r.v. 's on the same probability space {Q, J,P} such that P(XX 1) P(XX 1) 1/2 and for
THEOREM 10.3
any
(Csaki P(Xi 1)
=
Revesz, 1983).
=
Let
> 0
n'\Y{n) \S[n)\ 
and
*
a.s.
n1/4"eM+(n) ?@,n)
where
*
a.s.,
M+(n)
max
*n
S(A:),
5@)
0,
S{n)

Y^Xk (n
*=i
1,2,...),
Y{n) =M+{n)
Remark 2. This theorem is
The proof is
a
S[n).

Revesz
A983).
presented
below.
Remark 3. Consequence 2 can also be obtained by chine (cf. Section 4.4) for M+ and Theorem 10.3.
applying
can
us
that the
vector
(5(n), f@,n))
we can
approximated
do not know
by
the vector
(Y(n),M+(n))
possible
in order
n1/4"*.
Unfortunately
However,
show that
by considering
109
the number of
can
number of roots
f @, n), better
rates
e(n)
be the number of
#{Jt
1 < k < n,
we
S{k
l)S(k
1)
<
0}
crossings. Then
have
1983 and
=
THEOREM 10.4
be
on
a a
(Csaki
Revesz,
Simons, 1983).
P(Xi
Then
1)
P(Xi
define
probability
on
= =
space
{fl, J,P}.
one
can
Let
of i.i.d.r.v.'s
the
same
probability
space
{fi, J,P}
<
such that
P(Xi
1)
P(Xi
1)
1/2
and
M+(n)20(n)
for
any
n
=
1,
F(n)5(n)<2,
1,2,... where
5 (Jfc),
A0.9) A0.10)
M+{n)
max
5@)
0,
S(n)
J^ Xk (n
Proof. Let
=
tx t2
: i : i
> >
: i >
n,S{i
1)
<
0},
and
if
xxxj+l
if
if
TJ + 1 < J <
This transformation
is
was
clearly
true.
HO
CHAPTER 10
LEMMA 10.1
is
sequence
of
00
S{k)
=2/
5(r) =M+(r,),
< rJ+1 we have < 1.
1,2,....
<
For any
n <
&(n) =1,21
M+(n)
<
2/ +1, consequently
0<M+(n)26(n)
therefore
and
<
<
+ l
Y{k)
M+{k)
5(ik)
>
\S{k
1)
1 >
\S{k)\
2.
Clearly
we
have
ni/4'f@,n)
Hence
as
we
20(n)
*
a.s.
A0.11)
Applying
well
as
trivial consequence of Theorem 10.4. the Invariance Principle 1 (cf. Section 6.3), Theorems 10.2 and 10.4
as a we
A0.11)
3.
one can
easily obtain

Consequence
(Csaki
define
a
=
Revesz, 1983).
=
On
rich
>
{fl, J,P}
Wiener process
of i.i.d.r.v.'s
with
PpG
1)
T{X1
such that
a.s.,
a.s.
A0.13)
111
and
for
any
e >
e(O,n)17@,11I
Remark 4. Hence
is considered.
we
o(n1/*+).
only
a
A0.14)
fixed
x
obtain
a new
proof
Remark 5.
Csaki

Having
can
be easily deduced
(cf.
a
1983).
define
two
Question. probability
possible
to
random walks
{S^}
and
{S^}
on
rrafW@,n)2eB)(n)
for
some
*
a.s.
0 <
<
where
fA)@,n)
If
a
S^
and
positive answer can be obtained, then in A0.11) a better rate can be also obtained. However, if the answer to this question is negative, then A0.11) also gives the best possible rate (except that perhaps ne can be replaced by some logn power). Hence this question is equivalent to the question of Remark 1 of Section 10.1.
is the number of
Now
>B)
5^?
Consequence
7{T)=
V
'
(W[u)W[v)) 0<u<v<TX
max
W()
in
[0,T.
Then
'2
ir
\
P
log logn/
LLC(J(T)),
=
H{x)
where
G()
and
#()
are
J{T) maxo<t<r y[t) and apply Theorems 10.2, 2.13, the LIL of Khinchine (Section 4.4) and the Other LIL E.9). It is also interesting to study the properties of J{T) for those T"s for which W (T) is very big. In fact we prove
112
CHAPTER 10
THEOREM 10.5 Let C\ and C2 be two positive constants. Then there exists such that a sequence 0 < tx ?i(ur, Ci, C2) < t2 = ^(^J Ci> C2) <
=
...
1/2
'
'
and
\loglog*n
7T2
W{tn)
>
CMtn))'
if
The
proof of
on
the
following:
THEOREM 10.6
(Mogul'skii, 1979).
">o
limuMogP
~.
is
equal
to
the distribution of
{BT{t)
Further, the maximal fall
2maxo<t<r
of
Ct{Tb{T)Y\ 0<t<T}.
+
BT[t)
Ct{Tb{T))~l
is less than
or
equal
to
Br(OI
Hence
we
obtain
1
f
exp
where
way
W(t)
tW[T) @
< t <
T)
and the
proof follows by
the usual
the
Chapter
11
Strong
11.1
Strong
theorems for
(cf.
lim
Section
?(z,n)
and
that for any
x
=
0,l,2,...
In order to get the rate of convergence in A1.1) it is enough to observe that by Theorem 10.3 the limit behaviour of f @, n) (and consequently that of ?(x, n)) is the
same as
Theorem of Hirsch
i(x,n)
00
a.s.
(HI)
by
Section
and
by the
(cf.
Section
5.3)
obtain
if
and
only if
The
nonincreasing function
if and only if
n=l
U
where
is
an
Having Theorem
(instead
of Theorem
we
10.3)
or
applying
obtain
113
114
CHAPTER 11
THEOREM 11.2
if
we
Remark 1.
The
Theorem 11.1
to
was
A949).
Kesten
A965).
study
of
?(n)
also
Theorem 9.14
(cf.
A0.6))
one can
prove

THEOREM 11.3
(Kesten, 1965,
Csaki
=
Foldes, 1986).
=
Iimsup6(n)f(n)
a.s.
(H2)
liminfn1/2(loglognI/2e(n)
noo
liminf
too
r1/2(loglog*I/2r?M
as
21/2ji
A1.3)
where
j\
is the
first positive
root
of
the Bessel
function Jo(x).
is also due to Kesten without
In fact
Remark 2.
obtaining the
they proved:
A1.2)
A965). A1.3)
u(t)
Q,u{t)tll2
e LLC
is
> 0 be
such that
00.
Then
u{i)
if and only if
(tlf2Ti(t))
and
u{n)
LLC
(n/^(n))
(
Remark 3. The proof of Theorem 11.4 is based The upper classes of rj(t) and those of f(n)
on
were
by Csaki
A989).
He proved
a(t)
> 0
(t
>
1)
be
a(t)
if
and
E UUC
(r1/27(O)
and
a{n)
(fT
only if
fa3(t) a3(t)
( a2 a2(t)\
rexp
41 r<o,
115
Since
we
?(Q,pn)
n, i.e.
?@, n), by
Theorem 11.1
can
Here
we
consequence.
e >
we
have
n2(lognJ+eUUC(pn), n2(lognJeULC(pn),
11.2
First
we
Increments of
give the analogue
rj(x,t)

of Theorem 7.13.

THEOREM 11.7
nondecreasing function of
0 < at <
>
0)
be
t,
is nondecr easing.
Then
sup
too
(r)(x,s
at)
rf(x,s))
=
limsup 6t(r)(x,t)
r}{x,t
at))
a.s.
If
we
have also
(Hi)
too oo
lim(log(/at))(loglog)
(r)(x,s
+
oo
then
lim
too
6t
sup
o<*<ta,
at)
r)(x,s))
a.s.
for
any
fixed
R1 where
6t
By Theorem
10.2
as a
obtain
r)(x,t) by m+(t).
116
CHAPTER 11
Remark 1.
sup
Clearly
{m+{s
at)m+{s))<
sup
{W{s
at)
W{s)).
A1.4)
Comparing 6t and it of Theorem 7.13 we obtain in A1.4) that for a sequence t tn  oo we may have strict inequality whenever (iii) does not hold true. The investigation of the largest possible increment in t when x is also varying seems to be also interesting. We obtained
=
THEOREM 11.9
a
Csorgo Foldes Revesz, 1983). Let at{t > 0) be nondecreasing function oft satisfying conditions (i) and (ii) of Theorem 11.7.
(Csaki
Then
limsup^t
too
sup
sup
xCR1 0<s<tat
(rf(x,s
at)
ri(x,s))
a.s.
If
we
also
assume
that
(iii) of
0<<
'
lim^sup
sup
[rf(x, s
at)
rj(x,s))
a.s.
first
To find the
analogue of Theorem 7.20 seems to be much more delicate. ask about the length of the longest zerofree interval. Let
:
At
< t
such that
be the
length
of the
we
have
a
nondecreasing func
and limzoo
x/f(x)
'
t1" m) uuc(r(())

if and only if
Remark 2.
Originally
this theorem
was
Wiener process.
Example
1.
Since
we
L{f)
<
oo
if
f(x)
(logxJ+e(er
>
0)
and
L{f)
oo
if
f(x)
(logxJ,
obtain
W)s uuc(r(())
117
and
or
equivalently
lim inf
t+oo
inf
O^s^t
&t
G7@,5
at)
77@,5))
t)
77@, t at))
> 0
and
lim inf
inf
G7@,5
at)
77@,5))
77@, t at))
This example shows that the study of the lim inf properties of info<s<ta, (^ @,5 + at) 7?@,5)) (i.e. the analogue of Theorem 7.20) is interesting only if at >
t(l
(log*)).
proved
question
was
studied
fi(t)
t^at)'1
be
t/fi(t)
00. Furcx>,\imt.oo fi(t) nondecreasing and limtoot/fi{t) Further, let f2(t) be a nonincreasing function for which lim^oo f2{t) O,t1/2f2(t) is  Then nondecreasing and limt_>Oo*1^2/2@
=
is also
(t)
if
e LUC
{
ao
inf
G7 @,5
at)
77
@,5))}
L{h)
and
or
V (/,)
00,
t^fiit)
if
e LLC
{inf
G7@,5
a,)
77@,5))}
L{h)
where
< 00
and
L*(f2)
< 00,
118
CHAPTER 11
Example
2.
Let at
t[l
(log*)~2~')(e
_!_,
>
0).
if 6
Then
fx{t)
(log*J+e
and
L{fi)
< oo.
Since
oo
0,
we
obtain
Remark 3.
Example
By Theorems 10.1, 10.2 and 10.3, we find that the statement of remains true replacing 77@,*) by m+(t) or M+(n). (Compare this
5.3.)
11.9
Finally
we
mention the
(cf.
also Theorem
11.3).
Foldes, 1986). Let at(t > 0) be a nondecreasing function oft satisfying conditions (i) and (ii) of Theorem 11.7. Then
THEOREM 11.12
(Csaki
where
a.s.
too
inf
and
_
*[
If
we
/log(t/q.)
loglogt'\'/'
also
assume
that
(iii) of
too too
&tQ{t)
a.s.
Remark 4. In
case
at
we
obtain
A1.3)
as a
special
in
case
of Theorem 11.12.
r}(x,t)
x or
challenging question.
11.3
Increments of
we
In Section 10.1
have
seen
f(z, n)
that the strong theorems valid for r}(x, t) resp. rj(t) resp. f(n) due to the Invariance Principle (Theorem
119
that the strong theorems proved for the increments of a Wiener process remain valid for those of a random walk if an ; logn resp. an (lognK depending on what kind of theorems we are talking about. This latter fact is due to the Invariance Principle 1 (Section 6.3) and
10.1).
In Section 7.3
we
have
seen
O(logn) in it. Since the rate in Theorem 10.1 is much worse (it (n1/4"*"') only) we can only claim (as a consequence of the Invariance Principle) that the results of Section 11.2 remain valid for ?(x, n) (instead of rj(x,t)) if an > n1/2"'. The case an < n1/2"' requires a separate study. This was done by Csaki and Foldes A984/C). They proved that Theorem 11.7 remain valid for ?(x, n) if an logn. In fact they proved the following two theorems:
especially
is
the rate
< an <
creasing
an
integer
valued nonde
and
lim
noo
oo.
log
Then
If
we
also have
sup
0<k<nan
{?{x, k
an)
?{x, k))
a.s.
lim r1
oo
noo
log log n
then
n^
lim 6n
sup
0<k<nan
{?{x,k
an)
?(x,k))
a.s.
for
any
fixed
Z1 where
6n
a'1'2
(log(nO + 21oglogn)/2.
Then
+
c> 0.
for
r
any
fixed

Z1
lim
max
f(z,/c
nooo<*<n[<;logn] where
[clogn]) [C log n]
:
?{x,k)
a[c)
a.s.
a(c)
1/2 if

<
(Iog2)1

and the
only

solution
of the equation

2a) log(l
2a)
2A
a) log(l
a)
ifc>
120
CHAPTER 11
conjecture:
=[]
for all but
a.S.
provided that an o(logn). Since the Invariance Principle 1 of Section 6.3 is valid Theorem 11.8 implies
finitely
many
n
O(logn)
?{x,n) by M+(n).
analogue of Theorem 11.9 for f(z, n) is unknown except if an > n The analogues of Theorems 11.10 and 11.11 can be obtained by the Invariance Principle for ?(x, n).
11.4
Let
and
Un(x)=bn[t[0,k)+n(x)(Z@,k
(k
a
=
if
?<*<^
0,1,2,..., n
1;
the sequence
Un(x)
and
1,2,...). We intend to characterize the limit points of those of ut(x). Since Un(x)@ < x < 1) for any fixed n is
its limit
nondecreasing function,
Sm
C
points
must also be
nondecreasing.
Definition. Let
to the Strassen
(cf.
Notations
type
theorems). (Csaki
Then
we
formulate

THEOREM 11.16
Revesz, 1983). The sequence {Un(x);0 < x < 1} and the net {ut(x);0 < x < 1} are relatively compact in C@,1) with probability 1 and the sets of their limit points are S
trivial consequence of Theorems 8.2 and 10.2.
p* if x 1,2,...) by p(xn) k/n (k 0,1,2,..., n) and linear between k/n and (k + l)/n. Then taking into account that pn is the inverse of f @, n), i.e. f @, pn) n, we obtain the following
p(xn) @
<
<
l;n
L21
points of
0 <
x
the
functions
<
l}
(n
>
oo)
6
only
those
f~1(x)
Sm
It is also
interesting
points of the
n
sequences
t and
we
us
?(x,n)
choose that
resp.
a
r}(x,t)
when
consider them
as
functions of
resp.
big
big
x.
(cf.
Section
5.3)
tells
f(zn,n)=0
if
resp.
r](xt,t)
i.o.
a.s.
resp.
\og\ogt limits,
i.e. when
Hence
we
f (, ) and
when
strictly positive
Now
we
formulate
In the
of C(oo,+oo) the
set
(/
x(
resp.
1/2
\loglogty
t\
/
(t_*oo)
:
\ log log nj
consists
,n
(n
*
oo)
of those
and
r

dx
< 1.
Remark 1. Mueller A983) gave a common generalization of the Theorem of Donsker Varadhan and that of Wichura (cf. Section 8.4).
122
CHAPTER 11
11.5
Intuitively
Stability
it is clear that
f (z, n) is close
to
f (y, n) if
is devoted to
studying
this
problem.

THEOREM 11.18
(Csorgo
,
Revesz, 1985/A).
_
N)
?@, N)
\Z(k,N)Z@,N)\
,
n)
?@,n)\
2BA:
a.5.
where k
1, 2,
THEOREM 11.19
(Csorgo
Revesz, 1985/A).
Z1,
=
?(x, n)
the
f@, n)
i.o.
a.s.
f@, n)  is not interesting. The limsup  ?(x,n) of f(z, n) f@, n) follow trivially from Theorems 11.7 and 11.8. Theorem 11.18 stated that ?(x, n) is close to f @, n) for any fixed x if n is big enough. The next two Theorems claim that in a weaker sense ?(x,n) is nearly equal to f @, n) in a long interval around 0.
study properties

of the liminf of
THEOREM 11.20
(Csaki
Foldes, 1987).
Put
9{t)~
Then
lim
and
sup
^1
a.5.
if
p>2
A1.5)
limsup
sup
^1
> 1
a.5.
if
p<\.
123
THEOREM 11.21
(Csaki
Foldes, 1987).
Put
lim
fW00
sup
a.s.
t/
p >
It
and
lim sup
rwoo
sup
1
oo
a.3.
ehi(n)<x<
constant.
where
is any
positive
Remark 2.
n1/2(logn)~1.
It
The Theorem of Hirsch says that ^(x, n) = 0 i.o. Hence it is clear that A1.5) can be true only if g(n) >
a.s.
if
>
n1/2(logn)~1.
Theorem 11.20 tells us that g(n) must be smaller than this trivial upper estimate. Theorem 13.18 will describe the behaviour of ?(M+(n) j,n) when j is small.
implies that ?(M+(n) j,n) is much, much smaller than f@, n). Theorem 11.21 gives the longest interval, depending on Af+(n) and M~(n), where ?(x, n)
is stable.
present
few lemmas.
ai{k)
?{k, Pi)
?{k, pid
(i
4k
1,2,..., k
1,2,...).
Then
Eax
0,
Ea2
+
2,
<
A1.6)
x{4k

Jim
{n/2(a1(A:)
=
at[k)
an{k))
2I/2}
A1.7)

oo<x<oo,
lim P
n^
In1'2 sup(a1(A:)
I
J<n
=
a2{k)
+ + ay (A:)) <
x{4k
2I/21 J
A1.8)
{*)V* [*cV*du,
7T
x>0,
JO
and
lim
S&
(u.9,
124
CHAPTER 11
trivial consequence of Theorem 9.7. A1.7), A1.8) and A1.9) follow from Theorems 2.9, 2.12 and the LIL of Khinchine of Section 4.4 respecProof.
A1.6)
is
respectively.
The
following
two
lemmas
are
simple
consequences of
A1.9).
{//}
Then
be any sequence
limn_oo
//
oo a.s.
rwoo
1/2
{vn}
be
sequence
following properties:
(i) lim^oo vn
(ii)
Then
k
=
oo
a.s.
there exists
set
flo
C fl
such that
=
an n
eac^
=
^ fl0
and
k.
Utilizing
...
NONACTIVATED VERSION ^@, n) www.avs4you.com ot\[k) +a.z[k) a^/c) a2[k) aC(o,n)+i(A:) ^(/c,n) ?@, n) ac@,n)(A:)
limsup
noo
lW t (^

<
1,
we
the
proof
we
only present
proof
of
the statement
,JV){(O,AT)
The other statements of Theorem 11.19
The
are
rt28\'"
proof of
Theorem 11.19 is
A955).
THEOREM 11.22
Remark 3. One
can
(cf.
A2.17))
125
This fact together with Theorem 11.22 implies that the rate in the uniform Invariance Principle (Theorem 10.1) cannot be true with rate n1/4. Dobrushin also notes that if N\ and N2 is then the density function g of
are
independent
normal
@,1)
r.v.'s
\N\\ll2Ni
f
v2
z4\
can
be reformulated
by saying that
(n
In fact this statement is not very surprising since and k by 1 in A1.7), intuitively it is clear that
on
>
oo).
n
A1.10)
by f @, n)
replacing
0~)
,.
^^
We will
To find
an
exact
proof
of
A1.11)
is not
simple
at all.
study this
Intuitively
it is
an
exact formulation
see
Chapter 12)
that
are
asymptotically independent.
The
A1.13)
Hence
A1.11), A1.12)
on
and
this idea.
{xn}
be any sequence
o(logn).
Then
'
7C
Joo
JO
and
126
CHAPTER 11
The
following lemma describes some properties proof requires only standard analytic methods,
of the
Its
LEMMA 11.4
(i)
There exists
positive
for
any y ?
R1
A1.14)
(it)
For any
> 0
there exists
C[e)
(iii)
Let
e
{an}
be
sequence
a
> 0
there exist
C\
oo.
Then
for
any
0 such that
By Theorem
of Lemma 11.4
we
have
> 0
there exist
aCx
Ci{e)
> 0
and
C2
C2(e)
>
'
n^(e(l,0)
?(<),))
>
2e)
[^) (loglognK/4
A28\ *f*
<
C,(logn)<1+'>
and
^))>(l2e)( )
Now
we
(loglogn
prove
LEMMA 11.6
i)
/128N1/4
127
Proof. Let
nk
=
(exp(fclogfc)],
[m
<
n),
fa
By Lemma
Let
11.5
U{nk)>{l2e)dk}, {l2e)dk.
>
P{At}
y
<
C{k\ogk)^'\
V* V* P/
<(n A
I
A1.15)
fc and consider
oo
At.
t\
'.5
1,
=.
/, Sn
00
 On.
/
X
P { f (ij)
00
<
E p{?(*)
>
/?*
np{f( nj)
l}
=
>Pk
21/2nJ1/4y}P{f(ni)
21/2nJ1
/
where
A
=
%2WnJ1'*
2*J/'
(^)
(log log
and
128
CHAPTER 11
(log log**K'"
simple such that if j0
a
y
e
(=*
> 0
Now
there exists
jo
<
k, then
?{AjAk}
Here
we
<
(l
e)F{Aj}F{Ak}.
of this
=

A1.16)
proof
<
(nj/n*I/4
Ar1/4^"
to
fact, and sketch only the main 1,2,...,A; l), the lower limit of
(^)
Hence for latter y values the Similarly, the integral /JJ g{y)dy
y >
(loglogn*K/4
if
y<k'l\
say.
integral fj?y) g(z)dz is nearly equal to T*{Aic}. Simgives ~P{Aj}, and A1.16) follows, for in the case of
very small.

A1.15), A1.16)
give Lemma
11.6.
We have also
and
Bk
where
{?@,G71*, m*^))
>
ak+1}
{mk+1
Then
mk)
(log V
+ 2
m*
log log
rnk+i
771*+!) J\
1.
of the
events
Bk only finitely
an
many
occur
with
probability
M*+i
and
(B
eO7i*+i loglogm*+iI/2
Dk
I
V2
sup
sup
{l<Mk+iak+1 j<ak+1
>
a/(l)
a/+1(l)
+
a1+y(l)
[B
e)ak+1
(log ^ \og\ogMk+1^
many
occur

1.
Then
of the
events
Dk only finitely
with
probability
129
simple
consequence of Lemmas
11.7,
Ek
Then
sup
^(m^n)!
>
2B
er)ajfc+i
flog^+loglogMJfc+ij
with
>.
of
the events
Ek only finitely
many
occur
probability
1.
LEMMA 11.10
limsuP
T7771;hn
^

V27/
Proof. Let
\ LI
Then
1.
Fk
1
occur
with
probability
I}
Mk+l
ak+i
J\
we
have
A1.17) by
proved.
11.19.
give Theorem
11.6
Favourite
=
points
=
f(n)} will be called the set of favourite ?{x,n) {S(n)} at time n. The largest favourite points will be denoted by fn max{i: x G /}. Of the properties of {/} it is trivial that fn < u(n) with probability 1 except for finitely many n if u(n) G UUCEn). Hence we have a trivial result saying
The random set Jn {x : points of the random walk
=
that
fn cannot be be large.
very
large. The
/ occasionally will
THEOREM 11.24
(Erdos
any
> 0
with
probability
infinitely often.
130
CHAPTER 11
Having this result, one can conjecture that / will be larger than l[n) i.o. with probability 1 if l(n) ULCEn). However, it is not the case. Conversely, we have
THEOREM 11.25
any function
(Erdos
Revesz, 1984).
fn
with
<
(nB log2 n
1
+ 3
log3
+ 2
log4 n
n.
+ 2
log5
+ 2
log6 n
probability
many
It looks also
interesting
6
investigate
min{x
/}.
A985) proved
points.
small. In fact
THEOREM 11.26
joo
)*
Here
1.
we
\0
if if

1>U, y<2.
NONACTIVATED VERSION probability (I e)b~1 (l e)b~1, (/, www.avs4you.comn) (n) larger constant) infinitely (where
present
a
few unsolved
problems (Erdos
Revesz,
1984 and
1987).
Theorem 11.24 stated that / > infinitely often with then f will be 1. Its proof shows that when / > f than Db~l D is a small enough positive often with probability 1. It is not clear how big f(n) can be when / >
=
A
2.
e)b~1
or
how
big /
can
be when f (n)
=
>
^b'1.
=
2 i.o. with proba1 and \7n\ Everyone can see immediately that \7n\ 1. Can we say that /n > 3 infinitely often with probability 1? probability
{un}
we
for which
/i,n
> 2.
What
can we
say
oo
{^n}?
Can
say, for
example,
that
limnoo vn/n
the sequence /n+i fn\ be characterized? Is it If yes, what is the rate of converoo? fn\
/n/\/n
have
ot(n) be the number of different favourite values up to n, i.e. a(n)  Z))b=i ?k\ We guess that ct(n) is very small, i.e. a(n) < (logn)c for some
>
0, but
we
Hence
we
ask: how
can one
describe the
limit behaviour of
a(n)?
131
long
*(n)
<
]{n)
< n
be
i.e. let 1
<
and
behaviour
8. Further if
/?(n) is of /?(n).
x was a
as
big
as
possible.
value
an <
favourite value once, can it happen that the favourite do sequences moves away from x but later returns to x again, i.e. exist such that bn < cn of positive random integers
?/>= 0
9. To
n
and
/an/Cn^0
(n
l,2,...)?
investigate
the
jn
n(w)
be
jumps of the favourite values looks also interesting. Let 0 Then the jumpsize positive integer for which 7n?n+i
is defined
as
jn
that
jn
>
n1/2(logn)~11
not
see
i.o.
a.s.
how
one can
It looks very likely that limnoojn describe the limit behaviour of jn.
oo a.s.
We do
10.
By the
arcsine law
we
particle spends
long
time
on one
half of the line and only a short time on the other half with a big probability. We ask whether the favourite value is located on the same side where the
particle has spent the long time. For example let be a random sequence of integers for which
ni(w)
< ni...
where
J 1
if
S' > 0
Then
we
oo as
A;
oo a.s.
132
CHAPTER 11
11.7
Rarely
visited
points
paths
=
It is easy to see that for infinitely many n almost all at least twice which they assume at all, i.e. let 6^
assume
every value
r

0 if
f@, n) ^
1 and
<$ir)
1 if
f@,n)
1 and let
n.
Then
P{/1(n)=0i.o.}
We do not know if for
l.
infinitely
many
almost all
at
least rtimes
(r
2,3,...)
which they
assume
every value at
and
we
ask
P{(/r(n)=0i.o.}
We would guess that this A study of
nK
? but
looks also
As
probability
is 0 if
> 2
perhaps
it is 1 if
2.
nK
0.
THEOREM 11.27
l
=
a.s.
log
is
where 0 Another
< C < oo
interesting
result
on
/i(n)
THEOREM 11.28
(Newman, 1984).
E/!(n)=2
Proof. Since
(n
=
l,2,...).
=
only prove that E/^n + l) E/Jn) for n > 0. Consider the walk S? Sk+i Xi (k 0,1,2,...) and let '/i (n) ^e t^ie number of points visited exactly once by S? up to n. Then
/x(l)
we
if if if
=
implies
that
P{^@,n
l)
0}
P{?@,n
1)
1}.
Hence
we
Chapter
An
12
embedding
theorem
12.1
Let
{Xij, i
1,2,...,y
1,2,...}
be
and define
0,1,2,...;
7=1i=l
The arrays {S^m} and {Xij} are called random fields. Some properties of {S^m} can be obtained as simple consequences of the corresponding properties of the
random walk,
mention
one
some
properties of {5>,,m}
are
essentially different.
Here
we men
example
case we
have
lim
n~
$(*).
However,
Iimsup6(nmMnm
mtoo
21/2
a.s.
A972) (see
was
also
Csorgo
Revesz, 1981).
a
way
n
as
=
defined
(Section 6.2)
continuous
analogue
continuous
of
{Snm,
0,1,2,...;
{W{x,y), x>0,y>0}.
Among
the properties of the Wiener sheet
133
we
mention
134
CHAPTER 12
(i) W(, )
is
Gaussian process,
(ii) W{0,y)=W{x,0)=0,
min(xi,x2) min(yi,y2),
is continuous a.s.,
1/2
{xQ {y0
W{x0, y),
y >
0} 0}
is
(vi)
W(x,y0),
>
is
For
to
Csorgo
we
refer
12.2
We have
The theorem
seen
study of the
we
processes
n
resp.
is
easy when
is fixed and
let
reason
Z{x,Pi)
are
?{x,p0)
Z[x,pi),Z{x,p2)
?{x,pi),Z{x,p3)
?(x,p2),...
i.i.d.r.v.'s with
E(e(*,P*)
(cf.
Theorem
e(*,p*i))
l,E(?(z,pfc)
?(*,p*i)
IJ
4x
9.7).
analogue
of Lemma 12.1 for
rj(, ) (u
>
let
Po=O,
Then
we
p:
mf{t;t>0,V{0,t)>u}
0).
A2.1)
have
LEMMA 12.2 For any x ? in u(u > 0), i.e. for any 0 <
R1, r)(x,p*u)
ui < u2 <
is
process
of independent increments
...
<
ujt(A;
1,2,...),
the
r.v.
's
AN EMBEDDING THEOREM
135
are
independent with
where
1,2,..., A;.
?(x,u)
Then
we
^(x.pi)
7/@,P;)
^(x,P;)
u.
A2.2)
have
(i)
E?(x,u)=0,
E?2[x,u)
=4xu,
>
0}
6
is
strictly stationary
process of
independent increments
for any
J?1.
One
can
(iii) ?(x, u)
origin.
neighbourhood
of the
By the Invariance Principle 2 (cf. Section 6.3) this fact easily implies that for any iGi?1 the process ?(x,u) can be approximated by a Wiener process W*()
with rate
O(logu),
i.e.
Having
fixed
this result
say about
gives
an
important tool
to describe the
properties of
C{x,u).
What
is
can we
is
This observation suggests the question: Can the process ?(x, u) be approximated by a twoparameter Wiener process? Since by the LIL r}(x, u) 0 a.s. if x > (B + ejulogloguI/2 and u is big
martingale
in
x.
enough,
Hence
we
have
the structure of
we
u for any x big enough. This clearly shows that ?(x, u) ?(x, u) is quite different from that of W(x, u) whenever x is big.
=
modify
the above
question
as
follows:
a
Can the process ?(x, u) be is big but x is not very big? The
answer
approximated by
is
provided
that
to this
question
positive. In fact
we
136
CHAPTER 12
THEOREM 12.1
(Csaki
Csorgo
Foldes
Revesz, 1989).
There exists
probability
space with
(i)
{W(t),t
process
Rl,t
>
0}
its twoparameter local time proand the inverse process p*u of 77@,*) defined by
>
0},
(ii)
{W(x,u);x
>
0,
>
0}
such that
\?{x,u) 2W[x,u)\
is
=o(ui?e)
A is
an
a.s.
[u
*
00)
A2.3)
where
?(x, u)
defined by A2.2),
0 < 6 <
arbitrary positive
constant and
7/100,0
< e <
1/72
6/7.
properties of ?(x, u) or rj(x,t). However, we can
This theorem is
studying
the
process
of Theorem
12.1
we can
also
define
such that
A2.4)
a.s.
A2.5) A2.6)
{Pu>
Having the
>
0}
and
{W(x,u);x>0,u> 0}
>
are
independent.
process
{p*, u
as
follows:
we
have
a.s.
Thus
{77@,*);*
>
0}
{rj{O,t);t
>
0}Mv{0,t);t
is small
a.s.
>
0},
*
A2.7) A2.8)
A2.9)
v[O,t)\
(t
bo),
{W(x,u);x
>0,u
>
0}
are
independent.
AN EMBEDDING THEOREM
137
A2.7) A2.8)
resp.
A2.9)
A2.4)
resp.
A2.6).
In order to
see
is
small, which
is small. Now
A2.3), A2.8),
W(, ) imply
is small
a.s.
77@,*)
satisfies
A2.8)
and
A2.9).
Foldes

THEOREM 12.3
(Csaki
Csorgo
Revesz, 1989).
There exists
probability
space with
process
a
0}
>
0,u
>
{f){O,t);t >0}={r}{0,t);t
>
0}
such that
sup
<AT*/2
\n{x,t)r,{0,t)2W{x,f,{0,t))\=o(ti?>)
{17@, t); t
>
a.s.
(t
a.s.
00),
>
(t
00),
0}
and
{W(x, u); x
7/100,
>
0, u
>
0}
are
independent
where
A > 0,0 < 6 <
0 <
e <
1/72
6/7.
12.3
Applications
can
be used in the
study
of the
properties
of
77(, ),
first
we
list
few
simple properties
138
CHAPTER 12
which
can
be obtained
any
x >
Namely for
have
tl'*f)(O,t)
I \N2\,
A2.11) A2.12)
llNl\N^
where
Ni,N2 are independent normal @,1) r.v.'s. Also, for any x > 0, the set of limit points of
Ut=
is the interval
[1,1]
a.s.
is the interval
is the semidisc
{{u,v)
: v
>
0,u2
v2
<
1}.
points of
rri/i/2
w(M(o,0)
is the interval
[0,21/23/4]
a.s.
for any
>
0, that is,
implies
i
hmsup
,
sup
o<z<Kt*
W(x,fj@,t))
.
=====
a.s.
Applying again
the
independence
obtain
AN EMBEDDING THEOREM
139
for any K
> 0
and 6
> 0.
12.3 and
*(x,t)
r,(O,t) ^ 0 a
forany
x>Q
2yJxr,{0,t)
(t >0),
*>o0'
^^
A2.16)
forany
^\1'2
a.s.
forany
>
0,
2yJ2xr)@, t)
A2.18)
limsup
as
limsup
3
sup
r,{x,t)
r,{O,t)
0<x<Kt*
log t
i
limsup
1/4
sup
,'
n>
/4
=1
a.s.
12.20
for any /f > 0 and 0 < 6 < For the direct proofs of
7/200. A2.18)
and
A2.19)
see
Csaki
Foldes
A988).
Chapter
13
Excursions
13.1
zeros
of
telling us in different forms that f@, n) converges to oo like n1/2, i.e. the particle during its first n steps visits the origin practically n1/2 times. Clearly these n1/2 visits are distributed in [0,n] in a very nonuniform
(9.11)
are
way.
We have
Chung
Erdos theorem
and
claiming that the zeros of very we give a few reformulations of the some n. Now
are see
distribution of the
of
{Sk}.
First
few notations:
(i)
let
R{n)
be the
max{A;
0 < j <
such that
f @,y
A;)
f @, j)
0}
length
of the
(ii)
let
R{n)
be the
max{A;:
0 < j <
A;
such that
M+{j
k)= M+{j)}
of
length
of the
M?
up to n,
(iii)
let
#(n)
max{Jt
1 < k < n,
Sk
0}
zero
up to n,
141
142
CHAPTER 13
(iv)
(v)
let <;n be the number of those terms of 5j, 52,..., Sn which are positive which are equal to 0 but the preceding term of which is positive, let
or
fi+(n)
Now
we can
inf{Jt
0 < k <
for which Sk
M+}.
as
Erdos theorem
(Theorem 11.10)
oo,
nondecreasing function for which lim^oo x/f(x) is nondecreasing and lim^oo x/f(x) oo. Then
f(x)
be
f(x)
if
and
only if
r
dx
h
where
Y(n)
is any
of
the processes
R(n),R(n),n
\&(n),?n,n
fi+(n).
and
UUC(JR(n))
By Theorem
UUC(n
fi+{n)).
UUC(J2(n))
As far
as
UUC(^(n)).
clearly have

we
Cn)
The
UUC(n
V{n)).
equality in the last relationship is not quite clear but following the original proof of Theorem 11.10 given by Chung and Erdos A952) we get the required equality.
The characterization of the lower classes of
=
\&(n)
is trivial since
we
have
i.o.
a.s.
The characterization of the lower classes of $n is also trivial. In fact consequence of Theorem 13.1 we obtain
as a
simple
EXCURSIONS
143
f(x) satisfies
the conditions
of Theorem
13.1.
7^7
i/ and on/y i/
LLC(fn)
<0
z(/(z))i/'
The characterization of the lower classes of have
i2(n)
and
R(n)
is much harder. We
THEOREM 13.3
(Csaki
Erdos
nondecreasing
function for
which
/(x)/oo,/oo
Then
(z>oo).
if and only if
of
the processes
and
and
0,85403... is the
root
oo
y
k=l
Consequence
1.
log log n
R(n) ()
lim inf
a.s.
studying the length of longest excursion R(n), it looks interesting to say something about the second, third,... etc. longest excursions. Consider the samsample Pi,p2 Pi, iP(o,n) Pc(o1n)nPc(o1n) (the lengths of the excursions) and > the corresponding ordered sample Ri{n) R(n) > R2{n) > i?f@,n)+i(n).

...
Now
we
present
fixed
1,2,...
we
have
144
CHAPTER 13
This theorem in
the question: How small can R2(n),R3(n),... complete description of these r.v.'s we present the
following:
Problem 1.
Characterize the set of those
nondecreasing
functions
/(n) (n
1,2,...)
for which
us
that for
some n
nearly
{S(k)}%=0
us
that for
of at least
values of k
k(n)
excursions. These results suggest the question: For what will the sum Z)*=1R;(n) be nearly equal to n? In fact we
Question
e <
1 let
T(e)
f(n) (n
1,2,...)
for which
()
with
Question
except finitely
many
n.
How
can we
characterize
=
2. Let
for which
lim
noo
1 n
y R.(n)
*'
'
'
a.s.
How
can we
characterize
the first
/(o)?
we
Studying
exists
a
question

have

THEOREM 13.5
C
=
(Csaki
Erdos
any 0 <
< 1
there
C(e)
Concerning Question 2,
we
have the
following
result:
/(n)
and
for
any
h(n) /"
oo
(n
>
oo)
/i(n) loglogn
J(o).
EXCURSIONS
145
Knight A986)
excursion of
a
was
longest
following
Wiener process. In order to formulate his results introduce the notations: for arbitrary i>Owe set
sup{s : s < t,W(s) 0}, to(t) ti(t) inf{s : s > t,W(s) 0}, d{t) =*!(*) to{t), sxxp{d{s) : to(s) < t}, D{t) E(t) snp{d(s) : s < t,ti{s) < t}.
= = = = = =
Then
containing t. D(t) resp. E(t) is the maximal duration of excursions starting by t resp. ending by t. Knight evaluated completely the Laplace transforms of the distributions of
we
call
d(t)
D(t)
and
E(t)
over a
run as
follows:
THEOREM 13.7
(Knight, 1986).
where
/ if
y^1' l<y<2
and
where
G{1)
0,
if if
i<y<2, 2<y<3,
and
GB) ^
The
I
7T
i.
2
multiple Laplace transform of D(t) and some other characteristics of a Wiener process were investigated by Csaki Foldes A988/A). A very different

zeros
of
{Sn}
146
CHAPTER 13
THEOREM 13.8
1
n
lim
"
log
y^Pt
~
T~
as.
Remark 1.
However,
and Theorem 11.6 claim that pk converges to infinity like k2. these two results are also claiming that the fluctuation of k~2pk can be
(9.8)
pj[
and will be very big. Theorem 13.8, via investigating the also tells us that pk behaves like k2. , Let
us
logarithmic density
of
mention
result of Levy
A948)
lim

>
n
log
^
fl
a.s.
where
/ ,/
Sk >0, sk<o.
liminfV I(Sk)
and
1 lim sup
noo
n
a.s.
ft
^2 I{Sic)
fc=1
a.s.
Hence the sequence /(S*) does not have a density in the Theorem 13.9 its logarithmic density is 1/2.
It is natural to ask what
ordinary
sense
but by
/()
of
(oo,0)
is
happens if in Theorem 13.9 the indicator function replaced by the indicator function of an arbitrary Borelset of
R1. We obtain
THEOREM 13.10
is
a
Pnull set N C
=
(Brosamler, 1988; Fisher, 1987 and Schatte, 1989). There fl such that for allu <? N and for all Borelsets A C R1 with
X(dA)
we
have
lim
EXCURSIONS
147
where dA is the
boundary of
A and
For
Strassen type

generalization
A988)
and
Lacey
we
THEOREM 13.11
(Weigl, 1989).
J
where
\ (?,k>I(Sk) ilogn) xl

<
*(x)
/I
fo
NONACTIVATED VERSION 13.2 Local time and the number of long www.avs4you.com
/()
is
defined
in Theorem 13.9.
excursions
(Mesure
a
du
voisinage)
(cf.
Section
Wiener process
set
=
that
recover
to the
intrinsic definition. He
proposed
the
x
following:
are
Let
N(h,x,t)
W()
t.
away from
that
completed by
time
voisinage"
and
the connection between rj and N is Ito and McKean 1965, p. 43). THEOREM 13.12 For all real
x
we
have
lim
h,"\0
h^2N{h, x, t)
\\ri{x, t) y
7T
a.s.
Perkins
and
A981) proved that Theorem 13.12 holds uniformly in x and t. Cso^go Revesz A986) proved a stronger version of Perkins' result. Their results can
following
four theorems.
be summarized in the
148
CHAPTER 13
fixed t'
> 0 we
have
hl'2N(h,x,t)Jr,(x,t) (x,t)eRlx[O,t'}
sup
V
7T
a.s.
The connection between N and 77 is also investigated in the case when a Wiener process through a long time t is observed and the number of long (but much
shorter than
t)
0 <
<
ta(t
>
0)
be
nonde
so
that
at/t
\t J
log
aj
sup
XfzRi
N{at,x,t)J
are
r,{x,t)
two
a.s.
The
based
on
interest
on
their
own.
THEOREM 13.15 For any K > 0 and t' > 0 there exist and a D D{K,t') > 0 such that
sup
C{K,t')
> 0
THEOREM 13.16 For any K > 0 there exist aC D D{K) > 0 such that
=
C(K)
> 0 and
log
where 0
< at < t.
sup
at
N{at,x,t)J
r,{x,t)
>C
analogues of the above theorems for random walk. 0,1,2,... the number of excursions away from x
f(x, n),
i.e.
x
M(x, n)
Hence
we
{the
completed by n}
max{t : pi{x)
consider the
=
<
n}
f(x, n).
following problem: knowing the number of long excurexcursions (longer than a an) away from x completed by n, what can be said about f(x,n)? Let M(a,x,n) be the number of excursions away from x longer than a and completed by n. Our main result says that observing the sequence
[na]@ < a < 1/3) the local n,x,n)}^L1 with some an n)}^=l can be relatively well estimated. In fact we have
=
time sequence
EXCURSIONS
149
an
\na\
sup
xZi
with 0
<
<
1/3.
Then
lim
n>
1
/
(logI V
an)
n\l
\M(an,x,n)
?(x,n)P(an)\
a.s.
where
P[a)
The proof of this theorem is based
P{pj
>
a}.
on
THEOREM 13.18 For any K > 0 there exist D(K) > 0 such that
\
C(K)
> 0 and
Kn
where an that 0
<
1/4
3/4
sup
X?zl
^
n /
log
an/
<
a
\M{an,x,n)
[na] @
<
1/3).
13.17 and 13.18 remain true
prove the
Remark 1.
a
assuming only
< 1.
we
and
be
positive integers
(nP(a)(lP(a))lognP(a)I/2
Clog(nP(a))
provided that
A3.1)
Proof.
P(a).
Clearly M(a, x,pn(x)) is binomially distributed with parameters n and inequality (Theorem 2.3 ) easily implies Lemma 13.1. by (9.10)
.i'
condition
can
A3.1)
holds true if
as
<
np(p
<
2)
and
is
be reformulated
C{tp,p,K)
follows: for any K > 0 and 0 > 0 and D D{^,p,K) > 0 such that
=
big enough, Lemma 13.1 < if) < p < 2 there exist a
M{a,x,pn{x))
Z{x,pn{x))P{a)
>C
Dn
~K
)
7ra/
2 \
A3.2)
150
CHAPTER 13
provided
a <
np.
A3.2)
implies
sup
M{a,x,pn{x))
>C
<
Dn~K,
A3.3)
V
=
< P
<
00
there exist
D(t,6,ip,p,K)

such that
sup
sup
M{a,x,pn{x))
Z{x,pn{x))P{a)
>C
y !/*(?)
na
'
K. A3.4)
(log
the exact distribution of
a
Then by
=
slight generalization
Theorem
> 0
of
9.3)
for any K
0 there exist
C(K)
> 0
and
such that
for any
A3.5)
Zl
or
P{f(z,n) >C(nlognI/2}
Let
m
<
fln"*.
A3.6)
be
assume
Am
[m?
<
?{x,m)
m we
<
C(mlogmI/2}
<
/?
<
1/2)
=
replacing
n,
pn{x)
=
<
<
pn+i(x))
J(m,x)
by
the
M(am,x,m)
?{x,m)P{am)
M{am,x,pn{xj)
have
nP(am)
where
true
<
we
m?
i.e.
<
^(x,m)
2C2
log n
EXCURSIONS
151
Hence
J <
sup
M(am,x,pn(x)) nP(am)
1/4 1/4
n
3/4
2C2 log
log
am2C2logn
< 4
sup
sup
M(a,x,pn(x)) nP(a)
aJ
A3.7)
m)
<
m^ then
mh
if
1a
0<
Consequently
=0
A3.8)
and
we
if
obtain
a)/4. NONACTIVATED A3.8), A3.7) A3.4) VERSION P{ >C} www.avs4you.com Am} P{ P{ (x, m) mp)
is
big enough
and
/?
<
Hence
by
J >
C,
J >
C, f
<
<
P{J > C,^(x,m) > C(mlogmI/2} + P{^(x,m) >C(mlogmI/2} P{J > C, Am} + Dm~K < 2Dm~K
+
can
<
P{J
>
C, Am}
if
is
0 <
big enough, /? < ^^ and  < 2. /? < 1/3. Consequently we have also that
be chosen in such
way if
P{sup J(m,x)
for any K > 0 if C, D are Theorem 13.18 is complete.
>
C}
<
Dm
K
big enough
and 0
<
<
1/3.
Theorem 13.17 is
Note that if
a
>
trivial consequence of Theorem 13.18. 1/5 then P(a) can be replaced by B/7raI/2. Hence
a
we
also
[na]
with
1/5
<
<
1/3.
Then
J/2
sup
zZl
M(onii,n)((i,n)
\nan/
a.s.
152
CHAPTER 13
> 0
there exist
C{K)
> 0
and
(
P
()
=
/a
!/4
(log)
<
~3/4
sup
M(an,s,n)f(s,n)(
>
<
Dn~K
w/icrc an
\na\ A/5
<
1/3).
13.3
high
excursions
Theorem 9.7 described the distribution of the local time f (A:,pi) of the excursion {S0,Si,... ,SPl}. Now we are interested in the properties of f(A:,pi) when k is
big, i.e. when k is close to M +(pi), the height of the excursion {So, Si,..., SPl}. We are especially interested in the limit distribution of f(A:,pi) when k is close to M+(pi) n and n > oo. First we present the simple
=
1,2,... and /
1,2,...
we
have
n,
n22'
if
oo
then
n}
5i
(^i)
2"',
Proof.
is
By
probability
=
hits
Bft)1, i.e. P{M+(pj) > re} Bft)1. The probability that after the arrival time Pi(n) the particle turns back but hits n once more before arriving at 0 is 1/2A 1/n). Hence the probability of / 1 negative excursions away from n before px is A/2A 1/n)I. Finally Bft)1 is the probability that after / 1
excursions the
In order to
j,pi),
that
first
we
investigate the
is the first
distribution of
hitting
of the
p1(M+(p1))
EXCURSIONS
153
1,2,...,
1,2,..., j
1,2,...
,n
(Ww
i) V
and
2j{nj)
if
>
oo
t/icn
(
1
2j(nj)\
2j{nj)J
>
2j
\
n
2jJ
>
n)
2j,
Proof.
z n
Further,
negative excursions u positive excursions away 1 away from nj (none of them reaches 0) and / from nj (none of them reaches n) in a given order. Finally By)1 is the 1 excursions the particle goes to n. probability that after the /
is the
probability
that after
p\{n
j)
the
particle
makes
2,3,..., /
=
2,3,..., j
=
1,2,..., n
( i.Pi)
I A/+(p,)
n,e(n,pi)
1}
P{?/,
U2
1}
4?
154
CHAPTER 13
where U\ and Ui
are
i.i.d.r.v.'s with
m1
,...). A3.9)
Further,
(n^oo)
and
n\
Proof. Since
f(n NONACTIVATEDn,^(n,p!) j,p\(n)) equal VERSION ^( J,Pi) Z{nJ,Pi{n)) (given (M+(pi) 1}) www.avs4you.com A3.10)
and that of
to
are
the
we
are
conditionally independent.
n
=
2,3,... ,j
1,2,...
,n
0,1,2,...
ly1
ii
if
0,
i 1
t/
n+1
/=0,
n+1
if
n ^ oo
then
n(n
.(n
ljJ^2,
EXCURSIONS
155
+ 1
n
n(n
Proof is essentially the
same as
2(n
+ 1
j)
8j
6.
2,3,..., j
=
1,2,...,
=
1, k
=
1,2,... and
.7,Pi)
+
'
I M+{Pl)
v2
+
..
n.tfn.pi)
+
A:}
vl
vk_l
u2
where
are
independent
r.v.'s with
\ rn\
m} 7
27 2.7A1j)
fV 1
2j(nj)
7r
l,2;m
l,2,...)
0,
n1
if
ml
1
rr
if
>
1,
n1
n(nl)
j)
n1
n1
Aj
6)
8j2
{2k
3Lj
6(ik
1).
156
CHAPTER 13
Proof. Clearly
fci
t{nJ,Pi)
t{nJ,pM)
+
E(f(n i.P<+i(n))
t=i
t{nJ,Piin))
{t{nj,Pi)
Z{nj,pk{n))
where
?(
and
"
i.PiH), e(
"
i,P.+i())
"
?(
"
i,P.'()) (i
1,2, ...,* 1)
^(nJiPi) ^(nJiPfcH)
independent. j,p\(n)) and f (n U2. Lemma 13.4
are
us
j,pi)
?(n j,pk{n))
equal
to
f(n
j,pt+1(n))
?{nj\pi(n)) (i
Hence
we
1,2,..., k
1)
are
equal
to the distribution of
Theorem 13.21 and Lemmas 13.3, 13.4 and 13.5 combined imply
THEOREM 13.22 For any
1,2,..., n
1;
2,3,...
(^ l) n(n Vn
+ 1
/
1)
+ 1
j)^

4, + 2,
j,Pl)
=
Ef(n
y,Pl)J  M+(Pl)
> 0
n)
a
8j2
=
4j
6.
> 0 and
a
Further, for
C2
=
any
0,1,2,... and K
there exist
C\
C\(K,j)
C2{K,j)
{?(" J,Pi)
>
Ci log" 
M+(Pl)
a
n}
<
Cjn"*
> 0 and
a
/or
any
> 0
C\
Ci(a,K)
C2
C2{a,K)
P{^(nalogn,p!)
We also obtain the
>C1log2nM+(p1)
n}
<
Czn'^.
following:
Consequence
P
1. For any
0,1,2,...,
and
big enough
we
have
{f (n
"
i.Pi)
>
6J2
4j + 2
 M+(Pl)
=n}<.
EXCURSIONS
157
Proof.
By Chebyshev inequality
we
have
{tfn i.Pi)
=
>
A(8j2
Aj
6I/2
Aj
2\ M+(Pl)
n}
<
1.
Taking
6I/2 + Aj + 2
<
6j2
Aj
+ 2
we
inequality.
13.4
can a
random walk
x{n)
a
places
SO,SU... ,Sn
exists
Csaki
he obtained
A3.11) NONACTIVATED VERSION S(*i) S(k2) S(kx{n)) M+(n). (personal communication) www.avs4you.com x(n)= =
reached, i.e. x(n) is tne largest positive integer for which < sequence of integers 0 < k\ < k2 < kx(n) < n such that
..
In
0,1,2,...,
[n/2]; n
1,2,...
we
have
P{X(n)
k +
1}
2*P{AC_t
>
*}.
2),X(kx[n)l
3),..., X(kx{n))},
where
Let
X(l) Sj (j
=
Xt
S(l
1)
0,1,2,...
,n
5(/) and A:,, Jt2,... ,kx{n) are defined by A3.11). x(n) + 1) be the sum of the first j of the above

given random variables in the given order. Then {Sy} is a random walk and x(n) k + 1 if and only if maxo<j<njfc Sj > k which implies the Theorem. Now we prove a strong law.
158
CHAPTER 13
THEOREM 13.24 hm
n>oo
maxi<jt<nx(fc)
r=
1
=

a.s.,
Jg n
consequently
limsup 7^lgn
noo
X(n)
1
=

a.s.
and
trivially
x(n)
Proof. Consider the sequence
i.o.
a.s.
Then
max k<n
y(A;)
max
?.
i<M+
Clearly
1,2,... and K
k}=2~k
f*
we
{k
1,2,...;
are
1,2,...
have
Choosing
K
we
=
Kn
It
lg n
and
Ln
obtain
P
I
if
n
t^n
is
ft*
>
Hminf
noo
a.s.
lg n
Since M+ >
n1/2(lgn)
n we
a.s.
(cf.
5.3)
finitely
many
get
hminf
noo
r=
>
a.s.
lgn
EXCURSIONS
159
Similarly, choosing
K
we
=
Kn=]^lgn
/
and
Ln
n1/2\gn
lgn
get
p{ige;
Let
>
if}
have
1A^57)
?,*
l
n^T)
>T.
Then
we
max i<L
<
~~
a.s.
finitely
many
where K
Kn.(T)
^
Z
and L
Ln^T).
Let
jT
< N <
{j
1)T.
Then
1 +2e
max
\<LN
?t*
<
Kn+1iT)
lgW
as
if N is
in turn
implies
the Theorem.
< Mn.n M1:n < X2:n < from the sample Mo, Mi,..., Mni Then for
0,1,...
,n
be the ordered
e
obtained
any 0 <
a.s.
< 1
we
have
Mn:n
Mn:ni
>
ne
many
n.
An
30
<
An(a,e)
<
i <
<
such that
r
(logn)a
Mi, Mj
<
n{\ogn)a, \M{
Mj\
<
ne
\.
^
and for any
<Mi
<n{logn)a\
<
m
< P

v
&
n
>
<
MA
i
^*^/
n we
i,j,m

with
n(logn)~a
=
<
n(logn)a,0
'
<
^j
O
<
have
MA 31
<ne\Mj

m}<O[\ ne
(lognJa\
n2
160
CHAPTER 13
\\~/
nl~e
)'
Let T be
events
Anr will
with
probability
AN
Then only finitely many of the 1. Let nT < N < (n + 1)T. Then
e)
> 1.
Ci4(n+i)TBa,e).
An will
occur
with
probability
1.
n(logn)~3
(cf.
Mn:n
<
n(lognK
a.s.
the LIL, the Other LIL and Theorem 11.6) we obtain the Lemma. Lemma 13.6 and Theorem 13.22 combined imply
> 0
there exists
D(C)
a.s.
> 0
such that
?(M+(n)
j,n)
<
Dlog3n
for
all but
In this section
values.
finitely
many
n.
well
as
in Section 13.3
to
we
(Foldes
pN
min{k : \Sk\
=
N}
<
and
E{{ocN, (*N),pn)
Then for any 0 <
a
H^:0<k<pN, \Sk\
ocN}.
< 1
we
have
1
limsupfc^MM 2a2iV2loglogiV
Noo
.,
A3.13)
and
liminf5lt^^llM2,oglogiV
where
....
AS.M)
Co(ct)
is the
unique
root
of the equation
a
u
tan
1a
@, ].
=
case a
l,co(a)
tt/2.
Hence
A3.13)
resp.
A3.14)
are
equivalent
Chapter
14
14.1
random walk
Let
a
/x(n) (n
random
If there is
since
argue
max
and
<
n.
more
as
=
than
one
integer satisfying
one
will be
considered
/x(n).
n
/x(n)
as
The characterization of the upper classes of /x(n) is trivial, i.o. a.s. In order to get some idea about the lower classes we can
follows.
Since lim^oo
/x(n)
oo a.s.
any
> 0
(n))
with
<
probability
1 if
is
big enough. By
B
consequently
<
IT
log log n
and
161
162
CHAPTER 14
if
is
big enough.
We ask:
Question
In fact
we
1. Can
/x(n)
A4.2)?
The
answer
is
negative.
have
THEOREM 14.1
(Csaki
Foldes
Revesz, 1987).
7T2
limin
n>oo
(log log nJ
n
a.s.
Now
we
formulate
2. If
our
Question
<
"
for
4
some e
> 0
(log log nJ
A4.3)
then
by
Logarithm
2)
.
T,.," J
\
7T
1/2
::
14.4
We ask: Can
possible,
i.e.
 S(n(n))  attain the upper bound of A4.4) if /x(n) is as small if A4.3) holds? The answer is negative again. In fact we have (Csaki

as
THEOREM 14.2
Foldes
Then
for
an e
eF)
> 0
such that
2
A
_
1/2
Mm) < A + 61 2
a.5.
limsup
This theorem
roughly
says that if
/x(n)
^fio lognJ
/
0e ^(n)
\
^s
^^
smaH
possible)
then
V2
2 \
log log n
163
Question
as
3.
Intuitively
it is clear that
M(n)
can
be
(and
will
be)
small if
/x(n)
small
as
feeling. It says that if /x(n) is will be small but not as small as possible without
It will be
having
small
/x(n).
is

possible
value of
as
ask: How
/x(n) be,
if
M[n) (Csaki
small

as
is:
> 0
THEOREM 14.3
an e
=
Foldes
e{L)
there exists
and
simultaneously if n is big enough. However, if g(n) is a positive function with g(n) / oo then for almost all u> 6 ft and e > 0 there exists a
cannot
occur
sequence 0 < nx
n1(a;,e)
;
< n2
n2(u;,e)
<
...
such that
Question
is
as
and
hm
nk
p.
4. Instead of
as
Question
one can
ask: How
big
can
be, if
possible? The answer to this question is unknown. The following theorem gives a joint generalization of the above three theoIt also contains the LIL and the Other LIL
small
theorems.
(cf.
5.3).
THEOREM 14.4
(Csaki
Foldes
ain)
(log log nJ
71
mW,
1/2
sequence
(a(n),b(n))
as
(n
>
oo)
is K with
probability
1.
164
CHAPTER 14
clearly does NOT imply that (a(n),b(n)) 6 K or even belongs to a neighbourhood of K if n is big enough. However, (a(n),b(n)) {a(n), b(n)) belongs to a somewhat larger set Ke D K if n is big enough. In fact
have Foldes
we
THEOREM 14.5
(Csaki
: x
Ke
T/icn for any
{(*,y)
0
many
a
>
0,y
>
0,
< 1 +
e
(e
>
0).
e >
(a(n),6(n)) /fg
/or
a// 6uf
a.s.
finitely
n.
In order to formulate
simple
R*(n)
the
be the
length of the longest flat interval of {M(k),0 < k < n}, i.e. R*(n) is positive number for which there exists a positive integer a such that
0 <
a
largest
and
Then
<
+ R*
(n)
<
by Theorem
14.1
we
have
THEOREM 14.6
(Csaki
.
Foldes
Revesz, 1987).
7T2
hminf
noo
(log log nJ In
n
K (nil
a.s.
Equivalently for
any
e >
7T2
7T2
As far
as
(n)
are
concerned
we
have
THEOREM 14.7
(Csaki
Foldes
Revesz, 1987).
lim.nfloglogn
noo
'
165
where
0 is the
root
of the equation
oo
ok
=
(cf.
Theorem
anys > 0
and
investigated the length of the longest flat interval of M+(n). Comparing our results regarding the upper classes we obtain the intuitively clear fact that the longest flat interval of M+(n) can be (and will be) longer than that of M(n). Comparing the known results regarding
Remark 2. In Theorems 13.1 and 13.3
we
no
difference
can
be obtained.
we
they
are
based
on
following:
Let
be the
is the location
of
the maximum
14.2
Let
zero
^(n)
of
random walk
{5jk,A:
<
n},
i.e.
?(n)
then
max{A:
is
a
0 < k < n,
Sk
0}.
g(n)
if and
only
if
n=l
166
CHAPTER 14
Consequently
for any
e >
(lognJ+e
Since
))
and
and
7T7TI^LUC(tf(n)).
description
of the upper classes of
^(n)
we
i.o.a.s.
^(n)
<
the
^(n)
is trivial. wish to
investigate the properties of the sequence {^(n)} for those n's only for which Sn is very big or M(n) is very small. It looks very likely that if Sn is very big (e.g. Sn > BnloglognI/2) then ^(n) is very small. In the next theorems it turns out that this conjecture is not exactly true. In order to formulate our results introduce the following notations. Let f(n) n1/2jf(n) G ULCEn) with g(n) f oo. Define the infinite random set of integers
Here
=
Z(f)={n:Sn>f(n)}.
positive
numbers
be sequences of
satisfying the
fol
nonincreasing,
<
0 <
1,
I 0,
nct(n) 
Then
we
oo,
n/3(n) 
oo.
have
THEOREM 14.9
(Csaki
Grill, 1988).
na[n) <EUUC(#(n),n 2)
if and only if
Further,
nC(n)
i/
and
LLC(#(n),n
2)
only if
oo
I
fn\
^(o'jfi')
^in
yz ~02(n)/^2(n) exp (I 2
V
/
< 
167
na{n) #(n)
UUC(#(n),n
n
2)
n
means
that
na(n)
>
V(n)
a.s.
for
finitely
and
many
many such
>
for which
? Z.
Sn
f{n)
na(n)
finitely
n.
present two
(B
< e <
2).
Then
we
obtain that
(Be)nloglognI/2
1
and
#(n)>J(l
n.
e)n
probability
>
many
However,
i.o.
a.s.
Sn
(B
e)nloglognI/2
and
V{n)>Ul e)n
(Section 8.1).
Further,
Sn>{{2 e)nloglognI/2
if and
a.s.
only
i.o.
a.s.
Note the
<
i.o.
>
(InloglognI/2
<
and Sn
BnloglognI/2.
and
Then
we
e >
BnloglognI/2
1
tf(n)
many
n.
>
( + e) }^^n \2 log2n
/
probability
Sn
>
However,
BnloglognI/2
^(n)
>
^^ 2 log2 n
i.o.
a.s.
Further,
Sn
if and
>
BnloglognI/2
our
and
^(n)
i.e..
<
n(loglogn)"f?
intend to
i.o.
a.s.
only if
we
77 < 4.
Now
turn to
second
question,
M{n)
is very small
to
168
CHAPTER 14
E.9)).
In this
case we can
expect that
ty(n)
feeling
is true in
some
formulate it introduce the following notations. Let "/(n) and of positive numbers satisfying the following conditions:
6(n)
be sequences
oo,
))~2
monotone,
o[n)
Then
we
have
THEOREM 14.10
(Grill, 1987/A).
<
depending
P{#(n)
ni{n),M(n)
< oo
<
6{n)n1'2 i.o.}
=
or
whether
or
oo
where
of the sequence
are
the set
{(x,y) : y2
Example
and
3. The
> 4
3x,0
<
<
1}.
inequalities
\1/2
hold with
probability
only
for
finitely
>
many n, i.e. if
/ \
1/2
a.s.
then
Mln)
3/
eW2
169
finitely
<
many
n.
Similarly
/
if
\
1/2
M(n)
for all but
D37eI/27r
many
n.
then that if

\81oglogny
means
tf(n)
> yri
a.s.
finitely
This
M(n)
3"/

example, choosing D
/
eI/2
>
~
1/2
M(n) <(l+6)ir\ ; v ; v
~
then
\81oglogn;
we
tf(n)
6)n
a.s.
finitely
> 0
many
n.
Having
0 < nx
=
formulate the
w
following conjecture:
a
For any 6
ft there exists
sequence of
integers
ni(u;,?)
O<(l
ri2(u},6)
<
\
...
such that
1/2
tyr
\8
*(nO
nt
(t
l,2,...).
on
The
proofs of
paragraph
are
based
the evala
evaluation of the
THEOREM 14.11
>
we
present such
Then
result
>
0,0
< y < 1.
ty,W(t)
zero
>
xt1'2}
^,y;,
<t, i.e.
s
exp
\ 2A y)
0}.
a
where
ip(t)
is the last
of W(s),0
=
<
ip{t)
14.3
sup{s

0 <
<
t,W(s)
0,
EF2(t)
V(t),
1 and
function
out of
t~ll2W{t)\Q < t < oo}. {V(t) EF(t)F(s) \fs~ft,s < t. The form of
= =
Then
EF(t)
this covariance
process
in order to get
stationary Gaussian
should consider
Ua(t)
V(eat),

oo<t<+oo
{a
fixed
>
0).
=
This latter process is a stationary Gaussian process, for and it is called Orstein Uhlenbeck process. We will
1&Ua(t)Ua(s)
use
the notation
e~a^~^'2, U(t)
f/2(t),
proof,
the
following:
170
CHAPTER 14
THEOREM 14.12
lim
Too
P{
sup
0<t<T
U(t) \U(t)\
<
a{y,T)}
a{y,T)
exp(etf), exp{2e~v),
A4.5) A4.6)
lim
T>oo
P{
sup
0<t<T
<
where
for
any
oo
< y < oo
a{y,T)
We also mention
(y
21ogT
i log log T
^ log*) BlogT)1/2.
Watanabe
(cf.
also Bickel
A972)
> 0 we
have
'
'/'
=
zoo
0<KT
proved
<
a{y, logn)}
exp(etf)
Sk
< a(y,logn)}
exp(2ctf)
for
any
oo
k~l/2Sk
is
given in the
following:
THEOREM 14.15
lim
noo
max1<Jk<nA:
;
^=
Sk
rrjz
=
CIS.
limsup;=^r
noo
maxi<Jk<n
Bl0gl0gTlI/2
tttt <
lSk
a.s.
171
Applying Theorem
there exists
a
5.3
we
with
such that
>
K1
Hence
max l<*<n
^
y/k
>
?=
y/K
>
\l2\og\ogK,
V
>
v^loglogn1"*"
>
(l
and
we
It looks also
interesting
=
to
study
We prove
THEOREM 14.16
Ln
max
max
AT1/2(Si+Jk
S,)
(n
1,2,...).
l<liminf\rjz BlognI/2
n>0
<
limsup
n_>0O
7\rjz
BlognI/2
K <
00
a.s.
n)a] (a
>
l).
Then
by
Theorem 7.13
(see
also Section
7.3)
Ln
B log n) 1/2
>
B logn)/^
max
a^S,^
5,))
> 1
a.s.
which proves the lower part of the Theorem. In order to prove its upper part the following result of Hanson and Russo
00
then
limsup
n00
sup
sup
0<j<nan<k<nj
}> ,, B1ognj1/^
,
< 1
a.s.
172
CHAPTER 14
7.13
we
obtain
sup
sup
klt*{Si+k
Sj)
0<j<n21ogn<fc<an
W2/(n) log n
,
j====
<
hmsup
noo
sup
sup
< 1
a.s.
0<j<n21ogn<Jk<an
2alOgn
and
clearly
hmsup
noo
sup
sup
< 1
a.s.
0<j<n l<Jk<21ogn
/2k lOgU
we
Since
f(n)
may converge to
following:
Conjecture. K
Let
u{n)
u(n,S)
u(T)
u(T,W)
be the smallest
integer
resp.
the
resp.
It looks
to
v(n,S)
resp.
u(n,S)=n
On
resp.
u{T,W)
i.o.
a.s.
LLC(i/(,))
we
have
e >
exp({\ognI') LLC{u{n,)).
Proof.
By Theorem
we
have
which
implies Theorem
14.17.
Principle (cf.
max l<t<n
\
Section
j\
that
Jfc/25jk
r1/2W(*)
<

Oil) \ j
173
we
cannot
obtain
< O
k~l'2Sk
Hence
max
rl^W(t)\
(expHlognI"8))
a.s.
>
0.
we
U(t) Quails
and Watanabe
A972) proved
and
14.4
Ito
A942)
where
Itdintegral
Jo
is
definition but
continuously differentiate function. Here we do not give the we mention an important property of this integral, the celebrated
ITOFORMULA
(Ito, 1942).
=
JO
I f(W(s))dW(s)
a
Jo
f(X)d\
I ^
Jo
ds.
are
A4.7)
interested
In fact
to
special case of the socalled Itoformula. Here we find the analogue of A4.7) for random walk. In fact we prove
A4.7)
is
(Szabados, 1989).
Let
f{k)(k
Z1)
be
an
arbitrary func
define
if
*>x,
k
g(k)
if
0,
j=k+l
174
CHAPTER 14
Then
for
any
0,1,2,...
we
have
i=0
t=0
g()
can

be considered
as
the discrete
analogue
of the
X+\{f{Si+i)
can
f{Si))
as
/'($)
YX=i f{Si)Xi+i
be considered
the discrete
Itdintegral.
(In
order to check
<
A4.9)
0,Si
0;Xi+i
l,Xii
1
0, S;
>
0 to
n we
obtain
A4.8).
1. Let
Example
and
f(t)
t. Then
by A4.7)
we
have
by
ri
4
1
=
^^
SiXi+l
i=0
g{Z>n+1)
agree.
.
ILL
A4.HJ
A4.10)
and
A4.11) completely
f(t)
=
Example
2. Let
i1. Then by
A4.7)
=
we
have
[tW2(s)dW{s) Jo
and
^^ ftW{s)ds

Jo
A4.12)
by
A4.8)
=
E SfXi+l
t=0
g(Sn+l)
of
E S<
t=0
%i % ? Si ^ti.
=
_ _
A4.13)
t=0
5n+1/3
A4.13)
is not
the orders of
expected by A4.12). However, we know that terms E?=o s<Xi+i, 5^+1 /3 and ?t?=o S{ are n3/2,
be obtained
Remark 2.
the Invariance
Principle
A4.7)
can
as
consequence of
A4.8).
175
gives
representation of
It6integral.
For any
R1 and
t > 0
we
rj{x,t)
Here
we are
\W(t) x\\x\
fts\gn{W{s)x)dW(s).
do
Let
so
interested in giving the discrete analogue of this formula. In order to instead of f (, ) we consider a slightly modified version of the local time.
?*(z,n)
Then
we
#{A:
0 < k <
n,Sk
x).
have
THEOREM 14.20
(Csorgo
=
any
Z1 and
1,2,...
?(x,n)
x)Xk+l.
A4.14)
if
0,
signEfc x)Xk+i
nl
1
(i

l,2,...),
1
signEfc
where
x)Xk+i
\Sn
x\
fi=iC{x,n)
The above three
if
x^O,
be
Invariance
Principle
1.
Chapter
15
Summary of
Part I
Exact
Upper
classes
EFKP LIL
Sect. 5.2
Lower
Strassen
distr.
type theorems
Stras sen's
Sn
Mn
2.9, 2.10
EFKP LIL
Sect. 5.2
Sect. 5.3
Th. 2.4
Th. 2.12
EFKP LIL
Sect. 5.2
Th. of
Hirsch Sect. 5.3
Th. 8.2
Th. 9.3
(9.11)
Th. 11.1
Th. 11.1
Th. 11.16
is the
same as
f@,n)
by
Th. 10.3
Th. 9.3
 (9.9)
f @,pn)
Th. 11.6
=
Th. 11.6
of
Th. 11.17
a
Since
description description of pn
n a
f @,n) gives
Th. of Donsker
Z{x,n)
Th. 9.4
that of
>
f@,n)
Th. 9.5
oo.
Varadhan
Sect. 11.4
same as
that of
or
M+/2 (cf.
Th.
10.4).
177
178
CHAPTER 15
Exact distr.
Upper
classes
Lower classes Th. 11.4 Th. 13.2 Th. 13.1 Th. 13.3 Th. 13.3
'
Strassen
type theorems
A0.6)
Th. 9.8
Th. 9.9
(9.12) (9.12)
*W
R{n)
is the
same as
R{n) by
Th. 10.3
Th. 14.6
/x(n)
Th. 9.10
Trivial
(9.12)
Th. 2.14
Th. 13.1
Th. 13.24 Th. 7.3
X(n)
Th. 13.23
Th. 2.7
Replacing Sn, Mn,M+, ?@, n)... by W(t),m(t),m+(t),rj@, t),... respectively the abovementioned results remain true by the Invariance Principle 1 (cf. Section 6.3) and Theorem 10.1, with the exception that there is no immediate analogue of 0(n) and the natural analogue of x{n) does nt have any interest. In some cases we also investigated the joint behaviour of the r.v.'s of the
above table. A table for these results is
M~ Th.'s
5.8
tf(n)
2.5, 2.6,
Th.'s 14.4, 14.5
14.8
Mn
AC
Clearly many of the results of Part I are not included in the above two tables. For example, the results about increments, the rate of convergence of Strassentype theorems, the results on the stability of the local time, etc. are missing from the above tables. A summary on the increments of the Wiener process is given
at the end of Section 7.2.
"The earth
was
void,
and darkness
was
deep."
The First Book of Moses
Notations
1. Consider
random walk
x
on
the lattice
Zd. This
n
means
that if the
n
moving
+ 1 the
? Zd particle can move with equal probabilities to any of the 2d neighbours of particle x independently of how the particle achieved x. (The neighbours of an
is in
in the moment
Zd
are
corresponding coordinates of x and one coordinate differs by from the corresponding coordinate of x.)
the Let Sn
= = =
+1
or
S(n) be the location of the particle after n steps (i.e. in the momemt n) and assume that So 0. Equivalently: Sn + X\ + X2 + where Xx, X2,... is a sequence of independent, identically Xn(n 1,2,...)
1,2,...
where t\,t2,...,td
are
the
orthogonal
e
unitvectors of
d
Zd.
2. For any
(xu
x2,...,
xd)
Rd let
i2
?>,2.
3.
Mn
M(n)=
=
max
5,.
Sk
=
4. 5.
?(x, n) f(n)
= =
#{fc
0 < k < n,
x}
(x
Zd, n
1,2,...).
maxf(z,n).
k > 0, Sk
=
6. px
pi
k> pi,Sk
k >
=
0}, 0},
=
pn
pni,Sk
0}.
7. p2k
0},
p2k+1 =0
(k
0,1,2,...).
181
182
8.
2k} 0}
9 In
P{52 0,54
0,... ,S2Jk_2 ^
fan
0}
P{e@,2A:
and i2
2)
1.
(fc
2,3,...)
10. y
Jlmy^
oo
P{nlim f @,n)
noo
0}
P{Pl
oo}
,= i
11. Let
{Wl{tIW2{tI...1Wd{t)IvrhereWl{tIWt(tI...1Wd[t) are inindependent Wiener processes. Then the Rd valued process W(t) is called a
W(t)
=
m{t)
Chapter
16
Recurrence theorem
This
chapter
is devoted to
proving the
RECURRENCE THEOREM
(Polya, 1921).
PI9n =0 *
*"
'*
\=l1
[0
if if
d~2'
d
> 2.
for d
we
concentrate
on
d > 2.
1,2,...; d
1,2,...
0}
B)!
nd)
Proof is trivial
by
combinatorial argument.
as n
>
oo
we
have
P{52n
Further,
in
case
0}.
(_j
( d
\d/2
.
183
184
CHAPTER 16
Proof
by the Stirling formula. For later reference we give the following analogues of Lemmas
can
be obtained
2.
Then
2n
2nk
keAn(x,y)
provided that
x
+ y
(mod 2)
and
\x\
\y\
< 2n
where
keAn(x,y)
Proof is trivial
if and only if
by
a
(mod 2)
and
\x\
<
k < 2n
\y\.
combinatorial argument.

LEMMA 16.4
x
=
(Erdos
and
B.10)).
Let d
2,
(xi,x2)
and xx + i2
(mod 2).
Then
<(L+O(n2))exp(H!)
by the Stirling formula.
>
if
n<
Proof
can
be obtained
one can
Similarly
obtain
2,
(xx,x2,.. .,xd)
and xx + x2 +
+ xd
(mod 2).
Then
if
n>\\x\\\
P{S2n
2n
if
n<\\x\\\
LEMMA 16.6 In
case
lim
1.
k=l
RECURRENCE THEOREM
185
Proof. Clearly
E E p{^i
0, S2k
0}
? 2 P{S2j
0,S2j+2fc
0}
? p{52i
0}
Hence
we
our
statement follows
Cantelli lemma 2* of Section 4.1, while in from Lemmas 16.2, 16.6 and Borel Cantelli lemma 1 (cf. the case d > 3 it follows from Lemma 16.2 and Borel

Section
4.1).
same.)
case
1. The third
the
NONACTIVATED VERSION proof 3.2) (cf. applied proof www.avs4you.com difficulty. proof
case
1.
Hence
we
obtain
a new
of the
recurrence
proof
Section
applied
can
in
case
be
in the
2 but
can
following
notations:
Po q2k
l,
P2k
P{S2k
O}*2y4k^j
P{S2k
P(z)
and
{<72jt}
one can
easily
see
the
following
relations:
1,
q2, <74 "H qiPii q6 + q4p2

p2jfc
<72Jfc + <72Jfc2P2 H
h <72P2Jfc2>
186
CHAPTER 16
Multiplying the
kth
up to
infinity
we
obtain
P(z)=P{z)Q{z)
By Lemma
16.2
we
i.e.
Q(z)
lJ^.
A6.1)
obtain
=
oo oo
hm
if if
P(z) {
<
i.e.
if
if Since
d < 2, <i>3.
Q(l)
we
Yl<?=iQ2k
is the
probability
that the
particle eventually
visits the
origin
obtain
oo
~l
< 1
"=1
if if
d > 3, d
=
Hence
Remark 2. In the
P{5n
0 for
1,2...}
P{
lim
f @, n)
0}
ll^
Jk=O
A6.2)
applicable to the evaluation of the probability origin. In fact by Lemma 16.2 we have
is
that the
particle
returns to the
Jk=O
Jk=n
Jk=O
where
Y%ZoP2k
d
=
can
be
numerically evaluated by
obtain
example,
in
the
case
one
can
Z)*Li
92*
0.35.
concrete calculations.
Griffin
A989)
gave
better version
for many values of d. For 3,4,20 he calculated that the probabilities of recurrence are
probability
of
recurrence
RECURRENCE THEOREM
187
case
20,
P{52
0}
0.025.
probability that
the
particle
returns to the
origin
step is 0.001376.
It looks also interesting to estimate the
probability
nl
that the particle returns to the origin but not in the first 2n
LEMMA 16.7
steps. We prove
(Dvoretzky
Erdos,
1950).
>2n
2)
>
A6.3)
k=rt
Proof.
Classifying
the
paths according
=
the origin,
we
get
2.
5* '.i
"
2i +
l>
2,...
t=0
n
S* *
2i + l>2i + 2,...
i=0
n
Subtracting
n
EP2. ^
i=0
A6.5)
{16.4)
we
have
A66)
Since q2n
we
have
n
An
> l2n+2
An
+ y
J2 Pn
(I67)
188
CHAPTER 16
Since
t=l
\t=0
)
and 9
of
(cf. 10 of Notations)
Notations and
A6.2))
we
obtain
P*i
t=0
l~An> l2n+2
n
=
An +
t'=0
n
=
l2n+2
lJ2PK+iY2 PK
t=0 t=l
"t**+* ~^=
j=n+l
A69)
Hence
t=0
have
by Lemma
16.2.
Chapter
17
Principle
Wx(t), W2(t),..., Wd{i) be a sequence of independent Wiener processes. The Rd valued process W(t) {Wx(t),W2{i),. ..,Wd{i)} is called a ddimensional Wiener process. We ask how the random walk Sn can be approximated by H^(t).
Let
=
system
x, y
x.
In this coordinate
'
if if if if
Xn Xn xn xn
original system @,1) in the original system (1,0) in the original system @,1) in the original system
, ,
in the
independent r.v.'s in the new coordinate system (it is not so in the old one); hence by Invariance Principle 1 of Section 6.3 there exist two independent Wiener processes W\{t) and W2(t) such that
Observe that the coordinates of
Xn
are
\21/2Wx (n)
and
S 
O(log n)
a.s.
a.s.
where
SW,S$*)
are
the
independent coordinates
have
=
of Sn in the
new
coordinate
system. Consequently
we
2.
Then
on a
rich
enough probability
a
space
{fl, 7,P}
define
Wiener process
.i
_
W()
i
R2 and
/
that
i/>
\ii
189
190
CHAPTER 17
In the
case
we
define
/C?)
where
e< is
#{k
1 < k <
n,Xk
e,
or
e,}
(t
1,2,...
have
,d)
we
a.s.
A7.1)
Sn (SJil\SJ?\...,SJ4) (where SW is the ith coordinate of Sn in the original coordinate system). Then by Invariance Principle 1 there exist indepen=
> 0
finitely
many
n.
WX(),W2{),...,Wd{)
=
such that
=
O(log /CW)
O(logn)
we
a.s.
for any
1,2,..., d. By
A7.1)
have
a.s.
Consequently
THEOREM 17.2 On
a
Wiener process
have
rich
enough
a
space
one can
define
Rd and
random walk Sn 6
Zd such that
il
=
logn
for
any d
1,2,
P{W(t)
and
i.o.}
=1
if
P{W(t)
Hence
we can
0}
if
d > 2.
However,
it
weaker
sense
if d
2.
(see
e.g.
Knight, 1981,
Th.
4.3.8).
/ if
d
For any
> 0
we
have
P{\\W(t)\\<e
t.o.} i.o.}
a
2,
A7.2)
A7.3)
= =
P{lwr(*)ll
where i.o.
means
...
< e
d>Z
t2{u,e)
<
such that
limn_oo tn
191
proof of Theorem 17.3 is very simple having the following deep lemma which is the analogue of Lemma 3.1.
The
LEMMA 17.1
(Knight, 1981,
>
Th.
=
4.3.8).
<
Let 0 <
: s >
<
b <
<
oo.
Then
P{inf{s
: s
0,
\\W(t
+
'
s)\\
a}
inf{s
if
0,
\\W{t
s)\\
c} \ B}
cb
c
1,
log a
if
2,
c*d b2<t
(> ci~a

a'
if
d> 3,
where B
{\\W{t)\\ =6}.
A7.3)
is
Remark 1.
The rate of convergence in will be studied in Chapter 18. In connection with A7.2) it is natural to ask how the set of those functions
et
can
equivalent
too
to
oo
a.s.
if d
> 3.
T{\\W{t)\\<et
This
i.o.}
l.
A7.5)
question
was
studied by Spitzer
A958),
who
proved
Then
g(t)
be
g(t)t^eLLC(\\W(t)\\)
if and only if ?~=1(fc  log </(*:) I)
Remark 2. Theorem 17.4
<
oo.
(d
2)
implies
(log0. e
fLLC(W(t))
if
if
e>0,
?<0.
\))
on
The
proof
the
following:
192
CHAPTER 17
LEMMA 17.2
(Spitzer, 1958).
oo
we
have
Here
we
also mention
simple
(cf.
also Theorem
6.3).
> 0
we
have
u
>
P(m(T)
and
>
uT1/2)
uT1'2)
O(trVu3/2)
exp(O(u2))
N
>
as
oo
P(m(T)
Similarly for
any d=
>
<
as
u >
0.
1,2,...
=
as
oo
we
have
u
>
?{M{N)
and
uN1'2)
exp(O(u2))
if
oo
but
<
Nx'z
if
>
6u*
>
Chapter
18
Logarithm
At first
we
THEOREM 18.1
\imsnpbt\\W{t)\\
too
a.s.
A8.1) A8.2)
and
where bt
a.s.
log
we
obtain
rr
r r
> 1.
too
assume
an
> 0
such
> 1 +
e:
a.s.
Section
=
3.2)).
simplicity
where 0
=
let d
2 and define +
0,1,2,...
^(arccos)])
a
er/2)(l
er).
k such that
> 1 +
bt\cos<j>kWx(t) +sxn<{>kW2{t)\
Since
cos
.
we
A8.3)
4>kWi{i) + sin<f>kWi(t){t > 0) is a Wiener process A8.3) cannot occur if t is big enough. Hence we have A8.1) in the case d 2. The proof of A8.1) for d > 3 is essentially the same. A8.2) follows from A8.1) by Theorem 17.2.
=
obtain
194
CHAPTER 18
THEOREM 18.2 The process {btW(t),t > probability 1 and the set of its limit points is
0}
is
relatively compact
in
Rd with
Cd
The real
{xeRd,\\x\\<\}.
theorem
can
analogue of Strassen's
also be
easily proved.
It goes
like this:
is relatively compact in C@,1) x x C@,1) (C@, l))d and the set of its limit points is S* where Sd conconsists of those and only those Rd valued functions f(x) (fi{x), fi{x),..., fd{x)) which /,@) is absolutely continuous in [0,1] and for 1,2...,d) 0,/,()(i
THEOREM 18.3 The net
{btW(xt),0
<
<
1}
analogue of
that if
a(t)
ULC{H^(t)}
in the
However, the analogue statement for UUC{Wr(t)} we mention that Consequence 1 of Section 5.2 tells
any
e >
that in the
case
1 for
1/2
Sn
<
log n
log
a.s.
finitely
many
n.
However,
case
>
1 it is not
d1/2Sn
Now
we
>
Bn
Hog log n
n) )
i.o.
a.s.
formulate the
general

THEOREM 18.4
Let
a(t)
be
nonnegative nondecrtas
1,2,...
tl'*a[t)WC[\\W[t)\\)
and
if and only if
J\
r fe
195
2 for 4 < k d + 2,ak does not satisfy A8.4) if a2 2,a3 an is increased by e > 0 for any n > 2. It was already mentioned (Chapter 17, Remark 1) that
= = =
<
but it does if
lim
t>OO
11^@11
a.s.
if d
> 3.
A8.5)
This rate is called
Now
rate
we are
A8.5).
be
a
of
escape. We
present
THEOREM 18.5
nonincreasing,
non
tl'*a{t)eLLC(\\W(t)\\)
and
(d>3)
>
n^ofrOeLLC^HSnll) {d
if and only if
< oo.
3)
a(x)
does not
(logxlog2
x...
(logfcxI+eJ
e
satisfy A8.6)
case
if
e <
0, but it does if
ask for the
> 0.
In the
we
might
we are
interested in the
sup
of
Chung
of
m(t)
\\W{s)\\
and
M{n)
max
5fc.
for which
This question seems to be unsolved. Theorems 18.4 and 18.5 together imply: there
are
infinitely
many
\\Sn\\
and
>
for
every
big enough
S
>
n^logn) ai
[d
>
3,
>
0).
A8.8)
Erdos and Taylor A960/A) proved that if a particle is very far away from the origin, i.e. A8.7) holds, then it may remain far away forever (d > 3). In fact we
have the
following:
196
CHAPTER 18
THEOREM 18.6
k>n
Chapter
19
Local time
19.1
?@,n)inZ2
Chapter
16
clearly implies

Hence
we
THEOREM 19.1
f@,n) { n) y
sv
'
'
..
<
oo
if
a > 3.
study
the limit
of f
in the
case
2.
(Erdos
lim
Taylor,
Letd
=
2.
Then
P{f @, n)
and
<
log n}
e"
uniformly for
0 <
<
(log nK/4
()
The
proof
on
the
following:

LEMMA 19.1
(Dvoretzky
=
Taylor 1960/A).
>n}
Proof.
P{?@,n)
also 9. of
0}
^
=
O((logn))
(d
2).
By A6.4) (cf.
nl
Notations)
we
have
?P{S2fc
Jk=O
0}P{?@,2n2A:2)
197
0}
(n
l,2,...)
A9.1)
198
CHAPTER 19
where
?@,0)
0. Since
by Lemma
16.2
P{S2Jk
we
0}
(fcTr)
have
E
Jk=O
!^.
W
=
A9.2)
we
P{?@, 2n)
0}
is
1 >
P{?@,2n
2)
0} ]TP{S2fc
*=o
0}
P{e@,2n
2)
"
and
P{e@,2n)=0}<^^.
Similarly
1 <
A9.3)
by A9.1)
n~l
Thus, if k tends
2k
to
n,
7T
7T
Taking
[n/ log n]
we
have
P{?@,2n)=0}>
Hence
we
logn
can
be obtained
similarly but
tedious calculation.
=
[xlogn]
<
+ 1 and p
[n/q\.
PkX <
Then
n)
>
xlog n}
>
P{pq
n}
>
f[ P Lk
we

A9.5)
Assuming that
<
logn(log2 n)~l~e by
>
Lemma 19.1
obtain
P{f@,n)
xlogn} >e"(l+o(l))
(n> oo).
LOCAL TIME
199
In fact
we
obtain that
P{?@,n)
uniformly
in
x
>
xlogn}
>
e~rx{\
o((logn)1/4))
=
for
<
(lognK/4.
upper
1,2,... ,q) be the event that estimate, let Ek(k 1,2,..., q) are greater than or equal to precisely k of the variables p, p<_i (i
In order to get
an
=
n, while q
k of them
are
less than
n.
Then
n)
Hence
>
xlogn}
C
k=l
by Lemma
uniformly
can
in
for
<
and
combined
be
second statement
19.1 for any
x
=
imply the first statement of Theorem 19.1. The obtained similarly observing that by A9.6) and Lemma
xra
we
have
P{f@,n)
>
xlogn}
< exp
(irx + O
easily implies
2.
Then
< exp
Jim
uniformly for
0 <
z
pn
E
[) 
exp(7rZ)
<
n3/7.
x
Clearly for
as
any fixed
?(x,n)
are
the
same
f@,n). For example, Theorem 19.1 and Lemma 19.1 remain true replacing f @,n) by f (x, n). However, if instead of a fixed x a sequence xra (with xn oo) is considered the situation will be completely different. The following
those of
result
gives
some
case.
200
CHAPTER 19
THEOREM 19.3
(Erdos
Taylor, 1960/A).
Let d
2.
Then
f 2logx
logn
/1 + o/log3kl
log.
i l + O
if
20 <
x
<
n1/3,
n 1/2
logn
20
log
Proof.
By A6.4)
we
have
P2T2n2+2
i=0
=
A9.7)
and
provided imply
NONACTIVATED x}72n2Jk+2 VERSION ,2n) 0} ? P{52Jk www.avs4you.com A9.8) (mod 2). A9.7) (xi, x2)
=
similarly
A9.8)
Jk=i
that
with Xi+x2
and
combined
,2n)
Consequently
for 1
<
0}
<
Jk=l
kx
k2
<
n we
get
0}
72n2Jk3+2
ik=iki + l
case
400 <
x2
<
n2/3 put kx
\\x\\2
and k2
[n4/5]
then
by
19.1,
we
obtain
P{f(z,2n)=0}72n+2<
>gBn
(log
ny)) ? VA:7r
\k*
LOCAL TIME
201
i
+ O
\\
logBn
x
2k2)
<iogikir
Similarly,
for 1 <
logn
k3
<
,2n)
Take
.=
0}
?>2Jk
Jk=i
P{52Jk
~~
I'll*
i
This, by
log2 x
ii
ii2"
hence
As
we
20 <
x
we
<
n1/3. The
case
n1/6
<
n1/2/20
a
can
similarly.
prove
[exp(e*log/E)].
?@,n4)
=
big enough
3
<
,nf*)
Proof. Since
 Sr,j
0,1,2,... ,nk}
log A;
\\Snk\\
Z2 with
x
=
nk
we
have
I>{Z@,nlko*k)t@,nk)=0\Sj;j
J
0,1,2,.
..,nk}
log*"
of the strong behaviour of
complete description
202
CHAPTER 19
THEOREM 19.4
(Erdos
be
decreasing
resp.
2 and let
f{x)
resp.
g{x)
/(x)logx /
Then
oo,
g{ n.))
A9.9)
fin irj\
if and only if
f
J\
9\x) rg(x)j
x
log x
e
and
f{n) log n
if and only if
LLC(f @, n))
<
oo.
A9.11)
A9.12)
l J^dx
J\
xlogx
satisfies
+ 2
if and
only if
> 1.
The function
f(x)
satisfies
A9.12)
any
e
> 0.
Proof of
A9.9).
> 0
A9.9)
we
only: for
A
and
ejir^log n) log3
UUC(f @, n))
A9.13)
A
Let njk
=
^TT^log^logan
Then
ULC(f@,n)).
19.1
A9.14)
[exp((l
e/Z)k)}.
>
by Theorem
and
by
Borel
Cantelli lemma
nk)
<
fl
njk
a.s.
LOCAL TIME
203
finitely
f @, n)
if k is
<
f @, Mjk+1)
<
^TT^log n) log3
big enough. Hence we have A9.13). Now we turn to the proof of A9.14). Let
njk
=
^Jk
and
r >
log3
"Jfc
Mjk+1
Then clearly Fk C
^7fc+i
and
by Theorem
and
similarly
< k
Hence
we
obtain
A9.14) by
e
Borel
Cantelli lemma.
we
Proof of
A9.11).
Instead of
A9.11)
only:
For any
> 0
(lognHloglogn)
and
LUC(f@,n)) LLC(f@,n)).
A9.15)
n)1'
Let njk
=
A9.16)
[exp(efc)j.
nt)<,. ^ (loglognjk
and
by Borel
Cantelli lemma
"
204
CHAPTER 19
finitely
< nk+i.
jfe
Then
>
logn
ifcI+e
if k is
(loglogri)i+2e
r
=
big enough. Hence we have A9.16). Now we turn to the proof of A9.15). For
any
1,2,...
we
have
exp(Cr2r)}
=
P{p2'
<
exp(Cr2r)}
P{<;@,exP(Cr2'))
>
2'}
exp
(obtain
i.o.
a.s.
P2'1
are
independent
~
we
Pv > piT
Pv~x
^ Cr2r
and
consequently
f@,exp(Cr2r))
Let
n
=
<
2r
i.o.
a.s.
log 2.
We get
<
:
i.o.
a.s.
log log n
fact
a
(in
slightly
weaker version of
it)
is
com
complete.
Note that Theorem 19.4
easily implies
s >
) GLUC(pn),
exp
(A e)^ )

LLC(pn).
19.2
As
we
f (n)
have
seen
in
Zd
f @, n)
<
oo
a.s.
if
> 3.
LOCAL TIME
205
Similarly for
any fixed
Zd
lim
noo
?(x, n)
v
<
oo
a.s.
if
d > 3.
However,
we
have
f (n)
noo
lim sup
l
?(x, n)
oo
a.s.
length Zn of the longest head run till n is a.s. larger than or equal to A e) log n/ log 2 for any e > 0 if n is big enough. Similarly one can show that the sequence X\, X2, ...,Xn contains a run i> i, i, i, ,! of size (l e) log n/ log 2d. This implies that
Proof. Theorem 7.1 told
us
that the

which,
A
in turn,
more
minf>
Jog n
implies Theorem
was
19.6.
exact result
They proved
lim
noo
=
,
Jog
\d
a.s.
where
\d
In the
case
(logP{lim ?@,n)
n*oo
>
I})
(log(l 7)).
<
liminf
noo
<
4tT
(lg)4
limsup
noo
<
a.s.
(log n)*
7T
A960/A)
=
following:
Conjecture.
For d
lim T n^
()
1
rr
=

a.s.
(lognj2
7T
206
CHAPTER 19
19.3
First
we
analogue
of Theorem 13.8.

THEOREM 19.8
(Erdos
..
Taylor, 1960/A).
A
hm
noo
log
an
2^
k=x
_1_
log Pk
1
=
~
a5
*/
A d
o 2.
7T
analogue

THEOREM 19.9
(Erdos
Taylor, 1960/A).
2,/(n) 
oo
as
(n
>
oo)
and En be the event that the random walk Sn does not return to the n and nf^. Then
origin
between
P(En
depending
on
i.o.
or
converges
Now
turn to the
analogue of Theorem

11.27.
THEOREM 19.10
visited
Let
fr{n)
be the number
of points
exactly
times up to
Then
lim/i(")log'n=1
and
tf
Jim
where 7
We
=
^^ =1(l1)k~1
is the
a.s.
if
>
3, k
1,2,...
i(d)
probability
that the
path
will
never
return to the
origin.
investigated the favourite values in Section 11.6. We could ask the anaanalogue questions in the case d > 2. Theorem 19.7 combined with Theorem 19.4 imply that the favourite values are going to infinity in the case d > 2 just like in the case d 1 (cf. Theorem 11.26). However, the rate of convergence is not clear at all. A partial result will be given in Theorem 22.8.
=
Chapter
20
The range
20.1
Let
The range of Sn
be the number of different vectors among Si,S2,...,Sn, i.e. R(n) is the number of points visited by the particle during the first n steps. The r.v.
R{n)
will be called the range ofSi,S2,..., Sn. In the case d tells us that R{n) is going to infinity like n1/2. In the
~
1 Theorem 5.7
essentially
case
2 Theorems 19.1
and 19.4 suggest that R(n) n(logn). (Since any fixed point is visited logn times the number of points visited at all till n is n(logn). Clearly it is not a
proof since some points are visited more frequently (cf. Theorem 19.7) and some less frequently (cf. Theorem 19.10) among the points visited at all.) In fact we
prove
THEOREM 20.1
(Dvoretzky
n
Erdos, 1950).
n
nn
logn
if if
2, Z,
4,
EJE(n)
nP
=
?@, n)
d d
B0.1)
nP
limf@,n)
=0
=
O(logn)
if if
nP
limf@,n)
d>5
207
208
CHAPTER 20
where
Cd (d
5,6,...)
are
positive
constants and
**
Vari2(n)
Ei22(n)
(Ei2(n)J
<
V (log"K O(n3/2)
O(n log n) O(n)
..
tf
2,
,/ if if
d d
3, 4,
B0.2)
d>5.
a.s.
if
d > 2.
B0.3)
Remark 1. Theorem 5.7 implies that the range does not satisfy the strong law 1. of large numbers in the case d
=
The
LEMMA 20.1
proof of B0.1)
is based
on
the
following:
B0.4)
is the
probability
point.
+

Xi+1 ?
n

0 for
t
t
=
1,2,...,
,n

n

1}
0}.
Xni ^
0 for
1,2,...
1}
=
0 for
1,2,...,
1}
P{?@, n
1)
Hence
Let
we
have
B0.4).
Vn
(l [0
if
Sn^Si
for
l,2,...,nl,
otherwise.
Then
Jk=i
THE RANGE
209
Consequently by
Lemma 20.1
EJ2(n)
Hence
Jk=l
? V*
E PU(> *
Jk=l
1)
0}case
B0.1)
in the
case
> 3
B0.2)
m
we
present
Then
two lemmas.
<
n.
Proof.
^ 5m,
5m,
1,..., m
1; Sj ? Sn, j
1,...,
1,..., m 1,..., m
LEMMA 20.3
Sm, i
Vari2(n)
Proof.
<
2Ei2(n)
(e72 (n [^])

EJ2(n)
By
Lemma 20.2
Vari2(n)
<2
Since
by Lemma
20.1
E^y
is
nonincreasing the
max
is attained for
[n/2]
+ 1
proved.
Then
B0.2)
B0.1). B0.3)
can
be obtained
by
routine methods.
In fact
interested in another property of R(n). the limit behaviour of Eexp(vR(n))(v > 0, n > oo).
A979)
were
210
CHAPTER 20
u >
0 and d
2,3,...
=
logE(exp(i/i2(n))
k{u)
Remark 3.
In the
we
case
Trn/logn.
However, Comparing these
could expect that Eexp(uR(n)) Theorem 20.2 claims that Eexp(uR{n)) exp(k{u)nll2).
Hence
R(n)
v
following:
LEMMA 20.4 For any
Proof.
> 0
there exists
Cv
> 0
such that
E(exp(i/JE(n)))
By Theorem
and
we
> >
E(exp(i/iE(n))  Mn
<
exp(i/?rn1/2)P(Afn
<
nl'A)Y{Mn n1/4).
<
n1/4)
17.5
P(Mn<n1/4)=exp(O(n1/2))
have Lemma 20.4.
20.2
Let
Wiener sausage
W(t)
Rd be
for
some
0 < t < T
and
Kr}
where
Kr
{x: \\x\\
<
r}.
are
Br(T)
important results
summarized in
THE RANGE
211
THEOREM 20.3
(cf.
Le
Gall, 1988).
lim
!^A(Br(T))
> 3
2tt
a.s.
B0.5)
for
any
> 0
and d
2.
If d
then
a.s.
T>oo
WmTlX{Br{T))=c{r,d)
valued known
B0.6)
Further,
+
where
c(r,d)
is
positive
function of
and d.
=
lim
T*oo
P{Kd(T)(X(Br(T))
Ld{T))
<
x}
$(ai
0)
B0.7)
where
2tt
if if
2,
'
l{d,r)T
d>3,
d
=
Z,
T*~*/2
r
if
> 4
and
a,/?,7
are
known functions of
are
and d.
to
strongly related
as
B0.1)
and
B0.3).
In fact
Jk=O
implies
lim
N00
l^\{Bls){N))=ir2r2 N
=
a.s.
if
and
lim
The
N^XiB^iN))
r27rP{
lim
f@,n)
0}
a.s.
if
> 3.
we
can
212
CHAPTER 20
Conjecture
1.
lim P
NKX3
{K{dS)(N)(X(Bls\N)) L{fJ(N))

<
x}
if
where
(^^L
log AT
2,
r27rP{
and
lim
f @, n)
0}N
if
> 3
K, a, C
are
Chapter
21
Selfcrossing
It is easy to
crosses
see
(and
an
=
implies)
that the
path of
random walk
1.
itself
infinitely
such that
we
S(Un)
we
S(Un
{Un,Vn} of Vn),a.nd0<U1<U2<...,{n
occur
=
We
mean
valued r.v.'s
For
l,2,...). However,
a
ask the
example,
n
=
converges to
the
S(Un Vn) S(Un) NONACTIVATED VERSION speed infinity A960/B) proposed www.avs4you.com following problems.
ask whether the
we assume
after
long time?
occur
will
1,2,... if
infinity
with
great
Taylor
two
f(n) 
oo
be
are
the
f(n)
which
are
that the
paths {So, Si,..., Sn} and {?+/(), ?+/()+i;...} have points in for infinitely many values of n with probability 1?
Problem B. A
common
point Sn of
path is
said to be there
"good"
For d
be
if there
=
are no
points
are no
to
{S0,Si,...,Sn}
with
and
{5rn+1,5rn+2,...}.
> 3
or
2 there
good points
many
are
probability
1. For d
might
some
there?
as
As far
Problem A is concerned

we
have
Let
THEOREM 21.1
f(n) 
oo
be
positive integer
paths
{S0,Si,...,Sn}
have points in
common.
{Srn+/(n)+1,5rn+/(n)+2,...}
<p(n)
=
Then
=
(i) for
3, if
f(n)
n(<p(n)J
P(En
and
is
0
increasing, then
or
i.o.)
213
B1.1)
214
CHAPTER 21
depending
on
whether
Efc^i((PBA:))
nx{n)
and
converges
I5
or
diverges,
have
4, if
on
f(n)
x{n)
depending
d> 5,
whether
E^=i(^xBA:))
sup
m>n
rn
B1.1)
if
n
(for
some
C >
0)
then
we
have
B1.1) depending
on
whether
n=l
converges
or
diverges.
An
answer
of Problem B is
(Erdos Taylor, 1960/B). For d>Z let G^(n) be the numSr) and (Sr+i, Sr+2, ) have (l < r < n) for which (Sq, Si,

...,
(i)
> 0
>
i.o.
0.
(ii)
4.
P{0
(iii)
d
> 5.
liminf"
noo
rr""'<
fi
limsupn>oo
^)log"<
M
C) J
1.
hm
noo
i
t&
a.s.
where Tj is
an
increasing
sequence
r^
as
>
oo.
Remark 1.
for d
4 and
>
Sn}
and
we
have
point
in
common.
> 5.
intuitively clear by

Remark 1.
For d
=
THEOREM 21.3
4,
two inde
independent random walks which start from any two given fixed points have infinitely many common points with probability 1; whereas for d > 5, two independent random walks meet only finitely often, with probability 1.
SELFCROSSING
215
us
that the
paths
of two
(d
<
4)
cross
mean
each other.
One
can

Dvoretzky
investigate the selfcrossing of a <idimensional Wiener process. Erdos Kakutani A950) proved the following beautiful theorem:
also

Wiener process have double points (in fact they have infinitely many double points), i.e. there exist r.v.'s 0 < U < V < oo with W(U) W{V). For d > 4 almost all paths of a Wiener
paths of
process have
no
double points.
Comparing Theorems 21.1 and 21.4 in the case d 4 we obtain that for infinitely many n the paths {So, $*.} and {^n, 52n+i, } have a point in common, while for any t > 0 the paths {W(s);0 < s < t} and {W(s);2t < s < oo} have no points in common with probability 1. This surprising fact is 4 with probability 1 explained by Erdos and Taylor A961) as follows: for d the paths {W^(s);0 < s < t) and (W^s); 2t < s < oo} approach arbitrarily close to each other for arbitrarily large values of t. Thus they have infinitely many near misses, but fail to intersect. This explanation suggests the following:
Remark 3.
=
>
Question
for which
=
)=O
a.s.
(d
4).
2l<u
Chapter
22
Large covered
22.1
balls
Completely covered
Q{r)
=
discs in Z2
{x
Z\\\x\\
n
<
r)
is covered
for every
Let
R{n)
be the
Recurrence
is covered in time
n.
The
R(n)
oo
a.s.
B2.1)
We prove
For
We
are
B2.1).
THEOREM 22.1
any
s
(Erdos
0
we
> 0
and C
>
have
exp
6 6 e
UUC(i2(n)),
ULC(R(n)), LUC(i2(n)), LLC(i2(n)).
exp
(^^(lognloganI/2)
R(n)
we
217
218
CHAPTER 22
THEOREM 22.2
For any
> 0
<
~
limsupP
noo
"
>
logM
< exp
\
4
B2.6)
following:
A > 0 such that
Conjecture
1. There exists
logn
Note that
Let
r
>,}p( J
i.e.
<
: n >
we
cannot prove
even
At first
we
a(r)
few notations and prove some lemmas. be the probability that the random walk {Sn} hits the circle of radius introduce
a
before
returning
to the
point
:
@,0),
>
Further,
l,Sn
let
p@
~>
x)
>
l,Sn
x}}
to
0}.
LEMMA 22.1
tt/2.
B2.7)
Clearly
we
have
>
{inf{n : 5n
r}
>
inf{n
C
: n
>
l,Sn
0}}
0}
+
{@, r2 log2 r)
>
max
^0<Jk<r3log''r
5*
<
r)J
Since
by Lemma
19.1
P{f@,r2log2r) =0}7r/2logr
and
by
trivial calculation
(cf.
max
Theorem
17.5)
P{
0<Jfc<r3log3r
Sfc<r}=o(l/logr),
219
we
have
(')
Observe also
>
log r
a(r) <P{
Since
max
0<Jk<r3(logr)1
54
>
r}
PU^logr))
0}.
by Theorem
17.5
P{
applying again
max
CKJKr^logr)1
we
5* >r}
exp(O(logr)),
Lemma 19.1
obtain
B2.7).
to Lemma 17.1.
closely related
a
positive
for
any
Z2 with
<
> 2.
Further,
liminf
x
12
log
<
/v>
log
<
.
oo
xoo
Proof. Let
xe'*\ Then by Lemma 22.1 the probability that the particle crosses the arc xe'* (<p tt/3 < if) < (p + tt/3) before returning to 0 is larger than (l eOrFlog Hxll) (for any e > 0 if x is big enough). Since starting from any point of the arc xe'* (<?> tt/3 < xjj < (p + tt/3) the probability that the particle hits x before 0 is larger than 1/2 we obtain the lower estimate of the
x
=
liminf. The upper estimate is a trivial consequence of Lemma 22.1. Spitzer A964) obtained the exact order of p@ /v> x). He proved LEMMA 22.3
pp.
7T
117,
+
124 and
125).
OA)
..
4lo7H
as
lxl^
Yi
t{x\pi)t{x,pil)l
(t
l,2,...)
220
CHAPTER 22
and Zi and
positive
oo
we
for
any 6 > 0
f(n) f
>
have
1/2
/
^~ (c2
i
\ !/2\
+ c
vTRJ
l/2>
B2*8)
Z2
Zn
>
Son3'4}
< exp
^
C*[Tf^)
B2.9)
where
o*
^
EY*
p{Q^x)
Ikll B2.8)
and
< exP
( 77TT)
( n^ \
B210)
B2.9)
combined
imply
Proof. By
Theorem
9.7)
we
get
k}
0,1,2,...),
0,
and
/xm
EV
(1)", +
f; kmp2qk
Jk=O
<
l)'{k
ml)
{l)mq
where p
p@
/\>
x)
and ^
p. Hence
pm <q
m\plmq
(m
221
Similarly
Kl
Let
\EZ?\
< q +
mlplmq
(m
3,4,..
.)
g(z) tp(z)
and
EexpBy1)
\og g{z)
qe~z
P
+
z,
sn=
6olnll\
we
Then
by
B2.10)
have
if
is
(k
Je
K
oo
\*{s)\
<
log
f
I 1 H
'
f
Jk=3
Jk=3
<
log
h qs *~
e + pq V+M
"
'
"
MM I I 2

^s
"
< +
"
3
"
3
"
Vp7 "/
<^2S2
<
P2
2S3
+
.
Similarly
llogEexp^ZJl
Let
r*
M =
\v{s)\
Y2
,/
Fn(k)=P{Y1
and define
a
+ +
k}
sequence
l/j, U2,
pm
of i.i.d.r.v.'s with
^.\
e~^a)gak'p{Yi
k\.
Then
222
CHAPTER 22
where
Hence
Yn
<
>
Son3"}
2s3'
exp(nip(s)
n
s6an3/A)
< exp
and
we
have
B2.8).
proof of B2.9)
use
is
and
going
on
the
same
have to
the sequence
=
{U^}
defined
=
by
we
Now
turn to the
proof
of
B2.5).
In fact
e >
we
stronger
THEOREM 22.3
(Auer, 1990).
lim
For any
we
have
sup
,<r.
li,, ^0 n)
'
II =0
a.s.
B2.12)
where
rn
=
exp
Remark 2.
is
Note that
B2.5)
rn is covered in time
n.
claims that the disc around the origin of radius The meaning of B2.12) is that the very same disc
"homogeneously" covered, i.e. every point of this disc will be visited about f @, n) log n times during the first n steps. For the onedimensional analogue of this theorem, cf. Theorem 11.9.
~
Clearly
i
i{x,Pn)
y1
=
y2

yw
223
and
by Lemma
22.4
we
have
sup
sup
ll*ll<An
sup
n\ ><5<rn3/4}
n

exp
+C\f(n),
f(n)
=
where An lemma
we
exp(n1/2//(n))
Let
(lo8n)e
then
by the Borel
"
Cantelli
obtain
sup
l=0
a.S.
a.s.
Then
replacing
by ^@, N)
and
recalling that
finitely
many N
(cf.
Theorem
19.4)
we
we
B2.2)
of Theorem 22.1
J'nJ\0
mk
=
^B)
Z(x,n)=0, mk{xu x2,.. xk; n) E{I{xu n)I{x2, n)..., I{xk, n)) P{e(x!,n) >0,e(x2,n) >0,...,e(xfc,n) > 0}, ux min{A;, k > 0, Sk 2},
=
if
t=i
Then
we
have
224
CHAPTER 22
< q < 1
k
+
2,3,...

we
have
,xk;
mi(u;nqn)[M{qn)
A
.
k)mk{xu x2,...
qn)]
":"'
where
u
mi(v,n)M(n)
(t)()
mi(u,n)
form
min
Z2 and
Z2
are
defined by
and
=
mi(v,n)
=
max
mi(x,,n)
mi(x,,n).
we
have

xiqn) +m1(y;qn)
n)
Proof.
<
m2{x,y;qn)\
.
l +
mi(xy;n)
m2{x,y;n)
1,
ux
k <
k <
Jk=O
J^ P{/(x, n)
k=0
1,
J(y, n)
=
uy
k <
ux}V{uy
k <
ux}
.n)
Jk=O
ux
k <
uy}Y{ux
k<uv}
Jk=O
n
=
]P P{^(y
k=o
n
x,n
k)
J^I>{I{xy,nk)
k=o
Consequently
we
have
(x y,n)
=

1}P
f:(K U=o
*<i/,)
or

(i/,=*<
=
i/,))} J
225
which
implies the
We also have
qn
2{x,y;n)
>
?P{/(y T.
Jk=O
x,n
k)
~
l}P{i/x
=
* <
uy}
+
>
=
5Z p{^(x
Jk=O

j/'
^)
or

Hence
we
Pjk(r)
1,2,..., k
<
resp.
<
A(ii,i2,...,ik;j)
{u{Xil)
i/{Xii)
...,
Then
we
have
mk{xi,x2,...,xk;n)
P{/(x!,n)
...
I(xk,n)
m!(v,n)[.M(n)
upper
which
implies the
We also have
(U
<
226
CHAPTER 22
r=l
P{/(u,ngn)
xP
m^u.n gn)[.M(gn)
oo
(l
k)mk\.
oo
Hence with
we
Let N
N(n) /
n1/3.
n
= =
N(n)
<
be sequences of positive integers Assume that there exists an e > 0 for which k(n) < (N(n))e.
and k
=
k(n) /
a
sequence X\
Zi(n), x2
x2(n),..., x^
xk{n)
Z2{k
k(n))
Nl~e
Now
we
<
formulate
our
Further, if
N{n)
then
and
k{n)
B2.14) B2.15)
x2,..., xk;
n)
<
exp(B
we
have
logn
227
Hence
we
have
B2.13).
If
B2.14)
holds then
logn
< exp
0( logn I
flog")
'
IB
4g)
lo
P("B
4e) log3
and
we
obtain
B2.15).
present the
Let
Now
we can
Proof of
B2.2).
N{n)
be defined by
=
B2.14)
and let
ni
(exp(eJ)],
N{n) =expB(lognI/Mog8n),
^+1=exp((logni+1I/2).
Then
where x,
x,(ni+1) (i
1,2,...,
kj+l).
Hence
by
the Borel
Cantelli lemma
a.s.
finitely
many
j. Let n,
<
<
<
nJ+1. Then
R(n)
R{nj+1)
<
N{n3)
<
N(n)
which proves B2.2). Since B2.4) is a trivial consequence of the upper inequality of the upper part of B2.6). In fact we prove a bit more: THEOREM 22.4
we
B2.6)
n
we
prove
(Revesz, 1989/A).
For any
> 0
and
for
any
2,3,...
have
4/
y
>
B2.16)
M{n)
exp(C(log n)l'2)
(C
0)
228
CHAPTER 22
K{n)
<T exp
(^(lognI/2)
a
(C*
=
>
0).
=
sequence yx
j/i(n), y2
5/2A),..., yK
\\vi\\

<M
<
(i
l,2,...,K),
<
1
MZ'A
if C* is small
<
\\Vi
we
yy
A
our
<
<
K).
enough.
Now
formulate
LEMMA 22.8
mK(yi,y2,...,yK;n)
< exp
II
Proof. In the
same
way
as we
proved
Lemma 22.7
we
obtain
Clearly
< mK < exp
P{R{n)
>
exp^QognI/2)}
I1
proving B2.3)
we
prove the
following stronger
<
< 0 <
(tt/ 120I/2,9/10
<52
< 1
and
> 0 we
?(x, n) V
>
~
pr^(lognlog3 nI/2
V^
t.o. a.s.
e)7= @ A
v71"
229
In order to prove Theorem 22.5 let 0),p2(x ^* 0),... be the first, second,
to reach 0
pi@
x),p2@
x),...
x
resp.
pi(x
,
/v>
...
waiting times
to reach
from 0
resp.
from x, i.e.
'\>
'\>
'\>
x) 0) x) 0)
: n >
:
1, Sn
n >
: n >
Pi@ />i@
"^
x), x}
'\>
=
'\>
inf{n : n (Pi@

>
~>
x) p^O x) + pi(x
'\>
+
~f
Pi(x 0) 0) + p2{0
'\>
~f
0}
Let
r@
'\>
/v>
x,
n)
=
be the number of 0
/v>
excursions
completed before
n, i.e.
r@
x,
n)
max
<
f I
^!(Pj@
;=i
/v>
x)
py(x
'v>
0))
p,@
'v>
x)
<
n >
1
J
In the
proof
following lemma
will be used.
62
< 1
and
enough
Pin/2
(For
pn,
see
inf
i<evs
r@^x,,n)<l<5}<exp(^^V / \
60
B2.17)
Notation
6.)
p=l
=
Proof.
p@
/v>
x).
Then
we
applying
Bernstein
inequality
6p
obtain
r(( W
n
60logx
inf
n^2T@^x,pn)<l6}<pl
inf
r(
^^)
np
60
B2.18)
230
CHAPTER 22
which implies
B2.17).
and 9/10 < 62 < 1. for any 0 < 0 < Observe that Theorem 19.5 and B2.18) imply
(tt/120I/2
inf
rfcWs.expf*1/^))
r@ V
'v>
>1S
i.o. a.s.,
i.e.
inf <M)
x,n)
>
~
p^(lognlogonI/2 ^T
B2.6).
i.o.
a.s.
which in turn implies Theorem 22.5. Now, we have to prove the lower inequality of
the lower part of
B2.6)
we
prove the
e
following stronger
z
>
0 and
>
0 there exists
positive integer
P{
if
inf i<exp(e(zlogn)l/2)
<
n >
and
<
<52
< 1.
Proof. exists
a
any
> 0
and
>
0 there
P{n~1/2
and
P
inf
i<ev^
r@
x,
pn)
< 1
<$}
< e
\pn
< exp
lJ I
>
exp(7rz)
if
n >
iV0. Consequently
p(
>
inf
rfo^x^xpf)) ^(l^n1/2}
inf
e^
(
Pi
P{
1
>
rfo^x^xpf)) \Z) )
\
Z
>
(l<5)n1/2,pn<exp()l J
Z
inf
r{0^x,pn)
>(l<5)n1/2,pn<exp()
inf
x<ev^
e
T@^x,pn)>(l6)nl'2}I>{pn>exp()} I \zJ J
>
exp(7T2))
exp(Kz)
2e
231
if
>
No.
we
Hence
as
well
as
Theorem 22.3
clearly implies
lim
Z2
B220)
x
in
B2.20)
rate of convergence
can
we
have
where
a(x)
is
positive
constant
depending only
on x.
Before
n
( log n \(loglognI+ey
time of 0
a.s.
notations:
...
'\>
excursions,
52
x)
pi{x
~e
0)
Si,
where
i?3
^@
x)
pi{x
~c
0)
p2@
~c
x)
p2(x
~c
0)
p3{0
~c
x).
are
P(S1
=
*)=P(?@,Pi((W *))=*)
p@
^
ijj^^O
^
x)
(*
1,2,...).
Consequently
S!
(p@
x))J
(p@
p@
x))
232
CHAPTER 22
and
5,

'n^
where
BnloglognI/2
p((W z)
0)), 0) + p2@
~>
x)
p2(z
~>
0))
Since
S1
s2
...
+
/v>
ST((K.x,n)
x,
<
?@, n)
<
Ex
52
+
we
ST@^
have
r@
n)
takes every
positive integer
=
.
,
imSUP
noo
7;r;.
Br@
XjU)I/2
,,
p@
;r
^
a.S.
x)
Hence
1T.S<SPB?@,n)loglog{@,n))'A=(
and
we
p@ )
='*'
have Theorem 22.7. Theorem 11.26 claimed that the favourite values of
a
Remark 4.
random
walk in Z1 converge to infinity. It is natural to ask the analogue question in higher dimension. In the case d > 3 the Polya Reccurence Theorem implies that the favourite values are also going to infinity. Comparing Theorem 19.4 and Theorem 19.7
we
are
also
going
to
infinity.
we
Theorem 22.3 also says that the rate of convergence is not very slow. In fact
2 and consider
sequence
{xn} for
which
?(xn, n)
any
> 0 we
have
=
liminr
"<
exp((lognI/2(loglogn)1/2)
rj
>1/,/1:
.,,
oo
a.s.
233
Remark 5.
sausage
Replacing
one
by
Wiener
Br(T)
is to
can
A harder
question
rT
0.
implies
22.1
>
0)
then the
analogues of Theorems
22.2
positive density
The results of Section 22.1 claimed that the radius of the largest covered disc is about exp((lognI/2). Now we are interested in the relative frequency of the
visited
points
in
In order to
I(xn)il '^[O
K(N,n)
i.e.
=
if
if
^'n)>0' e(*,n)=0,
zeq(N)
(N2*)1 ? I(x,n);
of the
K(N,n)
(a
<
1)
or even
points
of
Q{N)
covered
by
of radius
then the
density of
the
covered
points
converges to
one a.s.
In fact
we
have
any
e
THEOREM 22.9
(Auer
> 0
=l
a.s.
Proof. Consider
where N Then
=
Nn
exp
by Lemma
22.2
we
have
234
CHAPTER 22
<
N. Hence
and
E(l/(x,pn))<exp(C(lognI+e),
for any 6 > 0
by
the Markov
inequality

P{1
which,
in turn,
by Borel
noo
Jim A
K{N,pn))
Then
a.s.
B2.21)
19.5 mn > pn
a.s.
Let
all but
mn
[exp(n(lognI+e)].
n.
finitely
many
Hence
for
\im(l
Observe that given the choice of
K(N,m))
and N
=0
a.s.
we
have
and
log m
6XP
we
obtain
n^
f limKlexpf
\
TiT7)'m)=1 ( / \(loglogmJ+/
as
Consequently
we
also have
TS hm K
1
\
,
rzr
mn
\
/
=1
a.s.
This proves the theorem. Theorem 22.9 tells us that almost all points of the disc Q(exp(log n)a)(l/2 < a < 1) will be visited by the random walk {So, Si,..., Sn}. At the same time by
points of Q(exp((logn)a)) will surely not be visited. We can ask how many points of Q(exp((logn)a)) will not be visited, i.e. what is the rate of convergence in Theorem 22.9? However, it is more interesting to investigate the geometrical properties of the nonvisited points. For example: what is the area of the largest nonvisited disc within Q(exp((logn)a))? By nonvisited disc we mean a disc having only nonvisited points. The following theorem claims that with probability 1 there exists a nonvisited disc of radius
Theorem 22.1
we
know that
some
235
exp((logn)^)
a >
Q(exp((logn)a))
for every
/3
<
provided
that
1/2.
Let
Q(u,r)={xZ2,\\xu\\<r}.
Then
we
have
THEOREM 22.10
(Auer
1/2
Then there exists
a
and
< a.
sequence
of
C
Q(un,exp((logn)^))
and
Q@,exp((logn)a))
Q(exp((logn)a))
I{x,n)=0
for
all
Q(un,exp((logn)^)).
introduce
a
A
are
1,2,...,*)
disjoint. Denote by
=
mk{QuQ2,...,Qk,n)
the
P{Vi
1,2,...,/:, 3y,
Q,
such that
/(y,,n)
n
1}
probability
Q\,Qi,,Qk
are
visited
steps.
exp((logn)a)
and
<
rx
<
n1/3
N <
e^
O<0
Then
< a< 1.
for
suitable constant C
> 0.
236
CHAPTER 22
Proof. It is easy to
see
that
min yQ{uN)
P{/(u,2n)
l}>m1(Q(u,iV);n)
P{?(u,2n)
f(u,n)
>
 Sn
y}.
mi(Q(u,N);n)
<
fe)
proved.
)r^{
< 1
C(logn)'.
(i) (iii)
0 <
< a <
1,
(ii) iV=exp((lognn,
Z2 be
sequence
for which
>
< i <
<
Then
rnk{QuQ2,...,Qk;n) <zxv{C{logn)al
for
a
Q,
Q(ui,N)
(i
1,2,...,
k).
Proof.
Clearly
<
x
PfujL^VQy are visited before and Qt is the last visited disc}} P{U*=1{the discs Qi,..., Q,i, Qi+i, iQk are visited before n}}
n
maxmaxPlQ.
ijtj xeQ;
is visited before
2n\ Sn
x).
Hence
by Lemma
22.10
mk{Qi,...,Qk;n)
<
(ibmi<i{Qi>
'QiuQi+u
,Qk;n)
{k
l)mfc(Ql5... ,Qk;n)
x(lC(logn)a1)
237
and
mk{Qi,...,Qk;n)
,Qk]n)
Since
1a
< 1
mk{Q1,...,Qk;n)
by induction
and
we
t=2
*/
natural
analogue
1/2
and
< a< a +
<
1,
< a
iV
exp((logn)/?).
Ui, u^,..., uk such that
k(n)
u,<exp((logn)a+e)
and
(i= 1,2,...,*),
\\xi
Then
xy
>
exp((logn)a+e/2)
(i,i
1,2,..., k; i /
j).
by
Lemma 22.11
mk{QuQ2,...,Qk;n)
<
exp(C(lognJ")
238
CHAPTER 22
where
Qi
Q(ui,N). Choosing
n,
e3 the Borel
=
one
Q,
(i
< rij+i.
Then with
probability
1 there exists
with
uj
<
exp((>
many
l)a+e)
Q{u,N)
if
a
is
=
large enough.
Nj Consequently
=
{N
exp^logn,)"))
Q(uo,N)
=
is
finitely
C
there exists
u0
uo(n,uj)
Q(exp(logn)a+2e)
n.
such that
Q(exp(log n)a+3e)
Now
we
consider the density K(N,n) will be investigated and for any 0 < a < 1/2
na
prove that
K(na,n)
<
has
limit
distribution. In fact
THEOREM 22.11 distribution function
we
have
a
=
1/2
oo)
there exists
1 and
limP{K([na],n)
for almost all
At first
we
x.
<
x)
Ga{x)
(00
< x <
few lemmas.
<
<
Cna
< a <
>
0,C
>
1).
Proof. It is
and y be two

points of Z2
<
such that
a
na(logn)^
Then
<
y
Cna
<
<
1/2,0
>
0,C
>
l).
m2{x, y; n)
A
1
2a)
.
Q;
B2.22)
<
y\
239
+ o
1

f^) J V log
n

B2.23)
Similarly
m1(y;gn)
m2{x,y;qn)\
Consequently
H^^).
B2.23)
and
B2.20
LEMMA 22.14
Let xu x2,..., xk
(k \\xi
1,2,...)
be
<
sequence in
Z2 such that
na(logn)~^
where 0
< a < >
<
Xj\\, \\xi\\
<
Cna
1,1
< i <
k.
Then
( V
f 1Og"
(
By induction
we
obtain
240
CHAPTER 22
Similarly
rrik >
j
Consequently
and
by induction
we
A(s, n)
possible stuples
(xi, x2,...,xs)
of
Q(na)
,_
Then
logn
and
by Lemma
Urn
obtain
E((tf(n",n)n
2a)']& (l
a
(l j)

2a
Consequently
we
distribution
Ga() satisfying
(z)
2o)'
) 2]
lY1
Ga(l limsupn_>00 K(na,n)
that
Remark 2.
0 <
0 <
a
The above
and
e
e)
1
<
1 for any
<
a <
1/2 1/2.
>
0 and in turn
a.s.
for any
241
following
a
Question. Is
<
1/2
and 0?
> 0
that
Ga(e)
22.3
>
Completely
covered balls in Zd
of the
largest disc around the origin covered by the random walk {Sk,k n}. In Zd (d > 3) the analogous problem is clearly meaningless since the largest covered ball around the origin is finite with probability 1. However, one can investigate in any dimension the radius of the largest ball (not surely around the origin) covered by the random walk in time n. Formally speaking let
Theorem 22.1 describes the
area
<
Q{u,N)
and
{x:xeZd, \\x
u\\
<
N}
R*(n)
u
vector
time n, i.e.
Then
we
R*(n,d) be the largest integer for which there exists a random u(n) G Zd such that Q(u,R*(n)) is covered by the random walk in
=
> 1
for any
formulate
our
THEOREM 22.12
(Revesz, 1989/C).
For any
e >
0 and d> 3
we
have
(logn)^+e eUUC{R*{n))
and
e
B2.26)
B2.27)
LLC(R*(n)).
At first
we
present
few lemmas.
a
positive
=
constant
P{Sn
where R
=
for
some
n}
P{J{x)
1}
^J^
n
=
{R
oo)
\\x\\
and
jix\ '
?(*,n) =0/or
every
0,1,2,...,
1
o otherwise.
242
CHAPTER 22
was
found
by Erdos
Taylor A960/A).
It is worthwhile to mention the Wiener process.
LEMMA 22.16
(Knight, 1981,
p.
103).
P{W(t)
provided \\u\\
Put
17.1.
a
=
=
Q{u,r) for
some
t}
d~2
J
consequence of Lemma
R >
=
r.
r, b
R,
lemma is
simple
Clearly
=
P{Sn
and
x}
f^P{Sk
x,S^x,j
0,1,2,...,k
n_fc
0}
n=0
0,1,2,... ,fc
0}
n=0 fc=0
x,S,?x,j
0,1,2,...,kl}.
n=0
k=0
Since
by Lemma
16.5
n=0
? P{Sn
x}
(Kd
o(l))R2d (R
oo)
B2.28)
and
by Lemma
16.2
n=0
f;P{5n=0}<oo,
=
we
obtain
P{J(x)
Hence
1}
k=0
?p{5fc
a more
x,Sj ? x,j
0,1,2,...,k
1}
o{l))R2d.
we
Remark 1. For
and Problem 5
B2.28)
see
Spitzer A964),
Pi
(p. 308)
(p. 339).
243
< 1
\\xi\\
<
L + l
(i
=
l,2,...,T),
xtx;
where K
=
>La
{i,j
1,2,...,T;i^j),
d
K(d)
is
positive
constant
depending
on
only.
Proof is trivial.
Dk+lDk
a
=
(Xi
(Xi(k)
where
and
in Lemma 22.17.
Then
for
any L
big
is covered
i,
X2,..
xj
are
covered
<
(k
(t
1,2,...) by 2,3,...,fc).
Dk
I
Dk+i_Dk+ii
*
=
Dk+i
Assuming
that
Dk
0 <
we e
Dki
<
<
rrr:
have
0 < c^ < a2 <
...
< ak < 1
(k (i
1,2,...)
1,2,..., k)
and
(o,+1
=
ai){d
1)
<
Oi{d
2)
where ak+i 1Let xtl, x,2,..., x,T be an arbitrary Consider the consecutive distances
permutation of the
244
CHAPTER 22
Assume that among these distances /i resp. li resp. and La* resp. La2 and L resp., ..., Lak and 2L.
...
/*
are
lying between
Lai
Then
probability that the random walk visits the points given order is less than or equal to
the
Taking
Lai <
j's (l
<
j'
<
x,
i,
or
<
Lai+l
to
(where
is
is less than
equal
we
get
P{xi, X2,...
,xt
are
covered
eventually }
v
<
Li=l
if L is
we
In the
way
as we
proved Lemma
22.18
u
we can
prove the
following:
Zd
<
we
have
P{Q(u,L)
where
is covered
eventually}
C*Lde{Tl)
D*
k is
an
1
dl
and C*
C*(d)
is
positive
constant.
Proof of
B2.26).
c e
Let L
[(logn)']
with
I
+{
Dkl
Yl
245
Then T >
(log n)^
with
some
t/j
=
> I
and
we
obtain
our
statement
B2.26)
ob
observing that
fc00
lim 0k *
jt7
(d
2)
e(d
77r + e.

1)
In order to prove
B2.27)
we
present
,n)
if
n
>
0}
>
(^) R2~d
of Lemma
R=\\x\\
>
constant
22.15.
easily implies
KR2
ts
n=l
if K is
implies Lemma
Let
proof
of Lemma 22.15
and define
T\
=
H
:
tjji
T2
inf {k
k> TUSn
+
Sk} Sk}
on
tx,
Tx+Vl
inf {fc
:
IOog"K^1!.
Sn
=

Va
fc > t2,
r2,...
Clearly, with
we
n) t/^
is not defined.
However,
have
a
P{ max tb{
<
Proof. that
Clearly for
constant 0 < p
> p > 0.
p(C)
< 1
such
F{5T1
Sn
<
C(logn)^T}
246
CHAPTER 22
Since
\\STl
Sn\\
<
are
i.i.d.r.v.'s
we
have
Y p\ >n""!
for
suitable C
>
0. Hence
we
An
{max 0,;<
C(logn)^}
and
B(n)
with
1.
B2.27).
Let
Then
(by
Lemma
22.20)
or
equal
to
^(log)<<'*>1><''>)L
< exp
(^(logn)^))
x
Consequently
the conditional
Q((\ogn)(d~l) l~e,5n;(i)
probability that there exists a point being not covered is less than or equal to
247
This fact
22.22 proves
B2.27).
n
that the
path
steps
are
big
covered balls
might
largest covered
ball within
an
Q(u,n). In fact let p(n) be the largest integer for u(n) 6 Rd such that u < n and Q(u,p(n))
eventually,
i.e.
by
the
random walk
J(x)
As
a
1 for any
Q(u,p(n)).
we
obtain
e >
we
have
(logn)^T"e
Remark 2.
p{n)
<
(logn)?^+e
a.s.
2 we investigated the area of the largest In Section 22.1, for d circle around the origin covered by the random walk {Sk,k < n}. In the present Section the volume of the largest covered ball in Zd d > 3 (not surely around the
=
2 too but
nothing
is
can
be studied in the
case
(cf.
also the
proof
of Theorem
19.6)
one can
Cd{\ogn)l'deLLC{Rd{n)}
for
a
suitable C^
it says
> 0.
a
It is
some sense
bit
more
than
B2.27).
In fact
we can
7.1)
that:
big enough there exists a positive random integer un < n Kd log n path {SVn, SUn+l,..., Sl/n+Kd\ogn} covers a ball of volume Cd(\og nI/*.
Remark 3 suggests to ask about the connection between the location of the example, we can propose the
following
Question. Let Q(u(n),R*(n)) be the largest covered ball favourite value, i.e ?(xn,n) f(n). Is it true that
and let xn G Zd be
xn e
Q{u{n), R*{n))
i.o. a.s.?
248
CHAPTER 22
22.4
Once
more on
Z2
completely completely
The results of Section 22.3 suggest the question whether the largest covered disc is located around the origin or there exists a larger covered disc located somewhere else. The
answer
to this
question
is unknown.
However,
we
> 0
we
have
sup
J2
I{x,n)
l,
where
^'^"{o
Proof.
0 < 7
=
if
?{x,n)=0.
any
e
By Remark
2 of Section
22.2, for
> 0
and 6
> 0
there exists
"i(e,6)
< 1
such that
0,
nx
[c^\
>
n2
By B2.29)
where
,
f
' '
if if
k^
0
Sj; x at least for one nk < j < 5,^z for every n* < j' < nk+l.
=
Then
choosing
see
To
big enough we obtain the Theorem. the meaning of the above theorem it is worthwhile
C
to compare it with
Chapter Speed
23
of escape
the rate of escape suggests that the sphere {x : z R} is crossed about R times by the random walk if R is big enough and d > 3. In fact
Theorem 18.5
if
on
5n
y/n
for every
then
=
HxeZ(R) f(z,)
{x
: x
O(R)
R\
<
where
Z{R)
Zd,\\\x\\
l}.
0,1,2,...,
'
otherwise
and
zZ{R) i.e.
J(x)
1 if
Zd is visited by the random walk and 0(R) is the number visited eventually by the random walk. On the behaviour of
G
Conjecture
for which
distribution function
H(x)
Hd{x)
H@)
=0 and
lim P
o
(^ x\
<
H{x)
(00
<
<
oo).
Unfortunately
Wiener process we introduce the
a
be solved. In
conjecture but the analogous question for order to present the corresponding theorem
be
a
following
Let
W(t)
250
CHAPTER 23
Definition.
the
W(t)
is
\\x\\
R}
=
0(R)
<
times if
=
ft
largest integer for which there exists a 02{R)... a2{R) < ft ft(JK) < a2
=
ae{R)
0e
such that
\\W(t)\\
<R
if
t < au
\\W{ai)\\=RtRl<\\W{t)\\<R+l if ^ <*</?!, \\W{0l)\\=RlorR + l,\\W(t)\\^R if ft < t < a,, R, Rl< \\W{t)\\ <R+1 if a2 < t < 02, \\W{a2)\\ \\W{02)\\ =R lor 12 + 1, \\W(t)\\ ?R if ft<*<as,... \\W{a,)\\ =R, RK\\W{t)\\ <R+l if a0<t<00, \\W@9)\\ =R + l\\W(t)\\>R if t>09.
=
F(R))~l
speed of
escape in R.
THEOREM 23.1
(Revesz, 1989/A).
The
proof is based
on
the
following:
LEMMA 23.1
P{6(R)
w/icrc
k}
A(l
A)*
(A:
1,2,...)
n
and where
B{R,t)
{inf{s
: s >
t,
\\W{s)\\
Rl}
>
mf{s
: s
>
t,
\\W{s)\\
R+l}.
p(R)
comes
P{\\W(t
s)\\<R
ioTsomes>0\\\W(t)\\
R +
l}.
SPEED OF ESCAPE
251
Proof.
Clearly
we
have
P{6{R) P{0(R)
=
1}
A,
2}
/
/
1
(=
\dt\
\d~2
d2\
)+P(R)[~?7i
PWi1
where
q(R)
p{R) Similarly
PF(r)
k)
ia\ *i
\k\ =AAA)'
Hence
Observe that
"
Since
p(R)
>
1/2 (i2
oo)
we
have
Lemma 23.1 together with B3.1) easily implies Theorem 23.1. Studying the properties of the process {6(R),R > 0} the following question exist for which naturally arises: does a sequence 0 < Ri < i22 <
lim
noo
Rn
oo
and
0(i2j
1,2,...?
prove
a
The
answer
to this
we
much stronger
introduce the
following
a
Let
ijj(R)
<
integer
u(R)
positive
6(k)
for any
< k <
tp(R). (u,u
+
speed
i/j(R))
is
252
CHAPTER 23
THEOREM 23.2
,.
.
tp{R)
Proof. Let
>
t.o. a.s.
f[R)A(R)
and
=
log 2
'
{6{k)
f{R)}
C(R,t)
Then
{\\W(t)\\
R +
f(R)
l}.
?{A{R)}
JI P{B(R+j,t)  \\W{t)\\
;=o
R+j)
for
somes >
x(l P{\\W(t
1
~
s)\\
<
R +
f(R)
 C(R,t)})
d2 2R
and
if
log log A/log 2 < S o(R). In the case 5 > O(R) + 5) are asymptotically independent. Hence
the events
A(R)
and
e >
0 if
is
big enough
we
have
iEl
5_r!?t!1LI 2
'
hS))<(^= V
/
(loglognJ(l+?)
log
which
implies Theorem
2.
23.2
by
Borel
Cantelli lemma.
Conjecture
hm
tfoo
:7
a.s.
log log it
log 2
=
Theorem 23.2
can
clearly implies
answer
that
0(R)
1 i.o.
a.s.
big
6(R)
be? An
to this
question
is
SPEED OF ESCAPE
253
e >
we
have
6{R)
if
R is
<
2(d2)1{l+e)R\ogR
a.s.
9{R)
omit it.
>
i.o.
one
a.s.
and the
proof
is trivial
we
R. Instead of investigating the Remark 2. Conjecture 1 suggests that 0(R) 0}. Taking min{fc : k > 0, Sk path up to oo consider it only up to px d > 3 we obtain T,xez{R) ?{x,Pi) R into account that P{pi oo} > 0 if
~
with
case
=
by
Theorem 9.7
we
get
E?*(*) Z{x,Pi)
about the
E(?(*!,Pi)
?(*!,Pi))
case
2 for any R G Z\
analogous question
in the
2.
By
O(R);
example,
0(R)
as
2.
Chapter
24
A few further
problems
problem
by a simple closed given on A. Then the
which
24.1
Let U be
curve
On the Dirichlet
an
open,
convex
Suppose that a continuous real function / is Dirichlet problem requires us to find a function u u(x, y)
A.
=
(i)
is continuous
agrees with
(ii) (iii)
U +
A,
on
A,
satisfies the
Laplace equation
d*u d2u
_
dy2
A
probabilistic
solution of this
problem
is the
following.
Let
{W(t),t
+
z.
>
0}
be
Wiener process on R2 and for any z ?U define let az be the first exit time of Wz(i) from U, i.e.
a
Wz(t)
W{t)
Further,
oz
mm{t : Wz{t)
<E
A}
(zG U).
Then
we
have
u(z)
is the solution
Ef(cz)
256
CHAPTER 24
proof is very simple and is omitted. The reader can find a very nice presentation in Lamperti A977), Chapter 9.6. Here we present a discrete analogue of Theorem 24.1. Instead of an open,
The
convex
domain U
we
consider
sequence Ur
(r
1,2,...)
of domains defined
as
follows.
Consider the
following
sequences of
2
integers
...
<
c2,.
..,&nr_i
satisfying
the conditions
A) 6t+1 B) Oi+1
with
some a >
< ct,

ct+1 >
bi

(i =1,2,. /., nr
b{
> ar,
2),
c,
0 and nr
2,3,
Now let
has only some minor implies that Ur is connected. Condition technical meaning. Let Ar be the boundary of Ur and define a "continuous" function on the integer grid of Ar, where by continuity we mean:
Condition
> 0
such that
\f{zi) f(z2)\
<
if
zi z2\\
< 6r
consider
we
random walk
{Sn;n
0,1,2,...}
on
Z2 and for
any
ze{Ur
Ar)Z2
define
SP
Sn +
(n
0,l,2,...).
i.e.
G
S,W
from
Ur,
min{n : 5^
Ar}.
(*)
E/EW)
problem, meaning
that
(i) (ii)
is "continuous"
on
(Ur + Ar)Z2, i.e. for any e > 0 there exists a 6 > 0 (Ur + Ar)Z2 and ziZ2 < ^", then uBx) u(z2)\ < ?,
agrees with
on
ArZ2,
257
(iii)
satisfies the
Laplace equation,
i.e.

(u(x
+
1,
y)
(u{x, y
+
whenever
1,
y), (x, y
1), (x
1,
y), (x, y
1)
<E
(tfr
Ar)Z2.
(ii)
is trivial,
u(x, y)
if
(u(x 4
(i)
1,
y)
u(x (iii).
a
1,
y)
u(x, y
1)
u(x, y
1))
(x, y)
In order to prove
present
simple
a
e >
0 there exists
> 0
suc/i t/iat
if
zeUrZ\
then
qeArZ2,
\\zq\\<6r
Proof is
(i)
we
have to
investigate
two
cases:
(a) zuz2eUrZ\
(/?)
In
one
of zi, z2 is
an
element of
ArZ2
one
is
an
element of
UrZ2.
case
(/?)
our
statements
immediately follow
case
(a)
assume
Since
and
z
we
Remark 1.
Having
get
in
on
problem,
one can
concrete solution
zq
=
by
the value of
u(, )
point
(x0, yo)
Monte Carlo method. In fact to get & Ur observe the random walk starting
258
CHAPTER 24
experiment
times. Then
by the
law
of
large numbers
lim
noo oo
n'1
? /(sH(ffJ)
*"
u(x0, y0)
a.s.
B4.1)
Si,S2>... are independent copies of a random walk. Hence the average in B4.1) is a good approximation of the discrete Dirichlet problem if n is big enough. A solution of the continuous Dirichlet problem in some zo or in a few fix points can be obtained by choosing r big enough and the length of the steps of the random walk small enough comparing to the underlying domain.
where
24.2
DLA model
...
Let A\ C Ai C
be
Z2 defined
as
follows:
{0},
boundary
of
obtained
performs
The
element of the
At
by
a
the
chance mechanism.
random walk
on
Z2. Then
y2 is
is defined
to
dA For
{y
y E
Z2 and
y is
adjacent
some
site in
A, but
? A}.
example, dA, {@,1), A,0), (1,0), @, 1)}. An + yn+i where Having defined An,An+i is defined as An+i position where the random walk starting from oo first hits dAn. In the above definition the meaning of "released at oo" is not
= =
Instead
we can
say: let
Rn
Then instead of
inf{r
: r >
0, An
Q{r)
{x : \\x\\
<
r}}.
starting from infinity the particle might start its random walk from (R^,0) (say). It is easy to see that the particle goes round the origin before it hits An (a.s. for all but finitely many n). This means that the distribution of the hitting point will be the same as in case of a particle released at oo. Many papers are devoted to studying this model, called Diffusion Limited Aggregation (DLA). The reason for the interest in this model can be explained
259
by
physical phenomena
well.
problem
:
is to
max{x
x?
An}.
Trivially
fact
we
rn >
(m/ttI/2
Only
a
and it is very likely that rn is much bigger than this trivial negative result is known saying that rn is not very big. In
THEOREM 24.2
(Kesten, 1987).
noo
There exists
limsup n~2/3rn
< C
a.s.
The proof of Kesten is based on estimates of the hitting probability of dAn. He proved that there exists a C > 0 such that for any y 6 dAn we have
studied the question of how one can get the lower bounds of the hitting probabilities of some points of the boundaries of certain sets (not necessarily formed by a DLA model). He
in
y}< CrW. B4.2) NONACTIVATED VERSION www.avs4you.com probability A989) B4.2) P{yn+i
=
In order to get
investigated
the
following
=
sets:
Bi
B2
B3
{(r,0), (r + 1,0),..., (r 1,0), (r,0)}, Bx + {@, r), @, r + 1),..., @, r 1), @, r)}, {x (xi, x2) : \xi\ + \x2\ r}.

Consider the point y (r,0). Then the probability that the particle coming from infinity first hits y among the points of dBi(i 1,2,3) is larger than or equal to
=
Cr'1'2
and
if
1,2
(gr)1'3 if
with
some
> 0.
260
CHAPTER 24
24.3
Percolation
assume
(edge)
is
path
is
0(p)
of the
problems of the percolation theory is to find the probability existence of an infinite open path. Kesten A980) proved that
0(P)\>O
The value
if
p>l/2.
percolation in Z2. An analogous problem is the socalled site percolation. In site percolation the sites of Z2 are independently open with probability p and closed with probability 1 q p. Similarly as in the case of the bond percolation a path of Z2 is called open if all its sites are open and we ask the probability @*(p) of the existence of an infinite open path. The critical value of the site percolation in Z2 is unknown, but T6th A985) proved
1/2
0 if p <
0,503478
lying
polynomial
A988)
on
percolation theory.
And God said, "Let there be lights in the firmament of the heavens to separate the day from the night; and let them be for
seasons
and for
days and
Notations
1. ?
{... ,E_2,E_i,Eo,Ei,E2,...}
Ei
<1
is
sequence of i.i.d.r.v.'s
satisfying
0
2.
<
with
some
0 <
<
1/2
see
j^n^T^Pe},^?,?};
3.
4.
5.
if if if
6 6
a,
a
1,
*)
b>a + 2,
D(b)
1 +
Ux
6.
D{0,n 1) ?)@,n)

i.e.
e + exp((rB_i
+
exp((r,_i
rn_3)) + 1,2,...).
263
264
7.
(n
8.
1,2,...).
Caution:
D{n)
I(t)
D(n),
I[t) I{t)
9.
k if
=ki(
>
1; k
1,2,...).
see
Rq, Ru
...
is
(RWIRE);
Intro
Introduction.
10.
p(a, 6, c);
see
Lemma 27.1.
Chapter
25
Introduction
The sequence {Sn} of Part I was considered as a mathematical model of the linear Brownian motion. In fact it is a model of the linear Brownian motion in
a
homogeneous (nonrandom)
We meet
new
environment.
case, for
example,
particle
in
consider
deterministic
one.
This situation
At first
can
be described
we
formulate only
model.
It is
given
in the
two
steps:
Step
1.
(The
coin when
universe). visiting t (t
The Lord visits all integers of the real 0, 1,2,...). During the first six
days
He creates
random sequence
?
where ?, is Head
or
}
made in
t.
Tail
experiment
Step
2.
(The
Day). Having
the Lord puts a particle the command: if you are located in t and Ei is Head then go to the left with probability 3/4 and to the right with probability 1/4, if Ei is Tail then go to
probability 1/4 and to the right with probability 3/4. Creating the universe and giving this order to the particle "God rested from all his work which
he had done in creation" forever.
The
general form of
our
model
can
be described
a
as
follows:
Step
1.
(The
universe). Having
265
sequence
266
CHAPTER 25
F{x), F@)
0,
realization ? of the above sequence. (The random sequence Ei, E2, } and a realization of it will be denoted by the same
.
is called
random environment
(RE).
an
(The
a
Day). Having
RE ? the
particle make a random walk starting from the origin and going one step to the right resp. to the left with probability Eq resp. \ Eq. If the particle is located at x i (after n steps) then the particle moves one step to the right Ei. That is, we define the random resp. to the left with probability Ei resp. 1 0 and walk Rq, Ri, by iZo
Lord lets
=
...,
+ l

 Rn  Rn
Pf (i^n+i
i!
Ei.
B5.1)
The sequence
A
more
a
{J?n}
is called
random walk in RE
(RWIRE).
Let
be
{...Et
[ux o).
e
E.2{ui),Ei
a
Ei{ui),E0
E0{ui),Ei
Pi(#i
<
El{ul),E2
nx)
be
x)
F{x){F@)
lF(l)
Further, let {fi2, 72} be the measurable space of the sequences u2 {el5 e2,...} where e, 1 or e, and J2 is the natural eralgebra. Define 1,2,...) l(t the r.v.'s YX,Y2,... on fi2 by Yi{u2) 0,J?n e:t(t 1,2,...) and let Rq + Yn(n Yi + Y2 + 1,2,...). Then we construct a probability measure P on the measurable f^ x ft2, 7 J\ x J2} as follows: for any given space {ft we define a measure U\ G fti PWl P?(Wl) Pf on J2 satisfying B5.1). (Clearly B5.1) uniquely defines Pf on J2.) Having the measures P?((Jl)(u;1 G fti) and Pi
= = =
one can
define the
measure
on
Our aim is to
meet two
{Rn}
In this
study
we
(i) Question
of the Lord. The Lord knows ux, i.e. the sequence ?; or in other He knows the measure Pf and asks about the behaviour of the
i.e. He asks about the
properties of
the sequence
INTRODUCTION
267
(ii) Question
physicist. The physicist does not know wi. Perhaps he has some information on F, i.e. he knows something on P^ He also wants to predict the location of the particle after n steps, i.e. also wants to describe the properties of the sequence {Rn}of the
typical
answer
to the first
type of question is
theorem of the
following
=
type:
THEOREM 25.1 There exist two sequences of Immeasurable < A) fi2) /?(?) such that
=
functions /M
P
for
all but
<
m*x\Rk\
<
fW
a.s.
(P,)
B5.2)
finitely
many n, i.e.
< max
p?{fi1]{?)
Since the
an
\Rk\
<
fi2){?)for
all but
finitely
many
n)
1.
physicist does not know the environment S he will not be satisfied with inequality like B5.2). However, he wants to prove an inequality like
for
all but
c^ </^ </<2> a<2> B5.3) NONACTIVATED (Pl) VERSION finitely www.avs4you.com following physicist B5.2) B5.3)
many
n.
a^
<
a^
such that
and
the
gets the
answer
to
a^
<
a^
such that
cH><mBx\Rk\<ag)
for
all but
a.s.
(P)
B5.4)
finitely
many
<
n.
Equivalently
P{aJ' aJ,1)
Remark 1.
max
\Rk\
<
<
a for all
but
finitely many n}
=
< max
\Rk\
1}
1.
The exact forms of Theorems 25.1, 25.2 and 25.3 are given in Theorems 27.6, 27.8 and 27.9 where the exact forms of ato,fM,ag\fW are
given.
Remark 2. In the
special
case
when
=
Pi(?o
the RWIRE
1/2)
F(l/2 + 0)
F(l/2)
1,
problem reduces
to the
simple symmetric
random walk
problem.
Chapter
26
days
of the
chapter we study what might have happened during the creation universe, i.e. the possible properties of the sequence ? are investigated.
In this
The
following
(C.I) (C2)
there exists
0 <
<
1/2
such that
P(/?
<
Eo
< 1
/?)
1,
where
NONACTIVATED VERSION f xdP^Vo x) I' "logdF{x) www.avs4you.com (l Eo)/Eo, F{x) P^Eq x),V0 \ogU0
EiV0
= =
<
yoo
Jp
<
and
Uo
(C.3)
0 <
a2
ExV02
Jp
(log \
dF{x)
<
oo.
Remark 1. In
we
case
=
of
simple symmetric
random walk
have
Pi(C/0
1)
Pi(V0
0)
1 and
1)
are
E^2
a2
0. We also mention
=
(C.I)
and
(C.2)
hold and
E^2
a2
0 then
^(Eo
1/2)
1.
Remark 2.
Most of the
or
following theorems remain true replacing (C.l) by a omitting it. Here we are not interested in this type of
generalizations.
LEMMA 26.1
HmsupTn
limsupT_n
noo
liminf Tn
n*oo
;=
oo
a.s.
(Pi).
B6.1)
269
270
CHAPTER 26
If
we assume
(C.I)
and
(C.3)
=
but instead
of (C.2)
we assume
that EiV0
m^0.
Then
noo
lim Tn
+
=
lim
n
T_n
(sign m)oo
V_i
+
a.5.
(P^
V_n,V;=
B6.2)
log #,,#,
=
Tn
?,)/?,
V2 and To
+
Vn,T_n
V_2
0.
Proof.
Section
B6.1) is a trivial consequence of the LIL of Hartmann and 4.4), B6.2) follows from the strong law of large numbers.
lim
noo
Wintner
(cf.
LEMMA 26.2
Din)
'
oo
a.5.
(P^
'
B6.3)
v '
(cf.
Notation
5.).
Proof. Since
D{n)
l +
Ul
UlU2

UlU2...Unl=e + eT>+eT*

eT">, B6.4)
B6.3)
By
have
max 0<Jk<nl
<
<
^VO<Jk<nl
max
B6.5) V ;
implies
e
> 0 and
for
any p
1,2,...
we
have
Tk
<
e:)erBnloglognI/2
(Px) for
all but
a.s.
finitely
i.o.
many
n.
B6.6)
B6.7)
max
Tk
>
er)crBnloglognI/2
a.s.
(Px), (Pj,
max
Tk
<
n^^lognloglogn'logpn)
Tk
>
n
i.o.
a.s.
B6.8)
max
lsJcsfl
a.s.
(Pi) for
all but
finitely
many
n.
B6.9)
By
B6.5)
we
also get
D(n)
<
many n,
B6.10)
271
D{n) >exp{(le)erBnloglognI/2}
i.o.
a.s.
(Pi),
a.s.
B6.11) B6.12)
i.o.
(P^,
exp{n1/2(lognloglogn(logpnI+e)1}
a.s.
(Pi) for
all but
finitely
many
n.
B6.13)

Replacing the maxi<*<n by max_n<jk<_i the inequalities B6.6) B6.9) true. Replacing D(n) by D(n) in B6.10) they remain true B6.13)

remain
as
they
art'
S^LpL v2nloglogn
liminf
noo
=a
a.s.
(Px),
a.s.
max 0<Jk<n
log
D^ J\oglogn y/n
D*{n)
<
n
ott/Vs
D*{n)>l,
i.o.
a.s.
(Pi).
they
are.
B6.17)
The
Proof.
B6.13)
<
are
clear
as
following simple
<
implies B6.16)
by
and
B6.17). oo}
In order to get B6.14) and B6.15) approximate the process {7^,0 < k < a Wiener process {erW(t),0 < t < oo}. By Theorem 10.2 the process
m\nT(W(T)W(t))
is identical in distribution to the process Other LIL imply B6.14) and B6.15).
{W^(OI^
=
0}
> 0
and
for

any p
1,2,...
we
have
W I{t)
<
>
(log ?j log log i a.s. (Px) if \t\ (log jt log log t
is

logp tJ
t.o.a.s.
(Px),
*"
(Pi)'
a5"
B6.22)
272
CHAPTER 26
Proof.
resp.
B6.22)
follows from
B6.13), B6.12),
LEMMA 26.5
l)
(*>1),
B6.23)
1),
=
D{I{t))
D{n + 1)
=
< t <
D{I{t)
D{n)
+
1)
{t
>
B6.24)
1,2,...),
D{n)
UXU2 Un
UnJpj~A
D(W)
+
<
(n
t,
B6.25) B6.26)
B6.27)
^5,)
+
<
D{n I{Xt
where
+
1)
<
^D(n)
+ 1
1,
A
>
1)
>
7@
if
B6.28)
is the constant
of (C.l).
follow immediately from the definitions.
Proof. and
This, in turn, implies B6.26). B6.27) follows from (C.l). B6.28) follows from
B6.23)
B6.27).
Chapter
27
day
theorem of Solomon
conditions
27.1
The
recurrence
THEOREM 27.1
we
have
P{Rn
t.O.}
Pl{P?{i*n
0
we
t.O.}
1}
have
can
be formulated
as
follows:
recur
probability
(Pi)
an
recurrence
theorem is true, i.e. the particle returns to the (Pf). Before the proof of Theorem 27.1 we present
p(a, b, c) (a
<
P?{min{j : j
i.e.
> m,
R,
a}
<
min{j : j
> m,
R3
c} \ Sm
b}
b <
c),
a
p(a,b,c)
c
p(a,b,c,?)
is the
probability
that
particle starting
from b hits
before
given
Especially
p(O,l,n)
1r
and
D(n)
273
; p(O,nl,n)
yK
' '
D*(n)
274
CHAPTER 27
Proof.
Clearly,
we
have
p(a,a,c)=l,
p(a, 6, c)
Consequently,
=
p(a,c,c)=0,
+
Ebp{a, b + 1, c)
Eb)p{a, bl,c).
p{a, b +
By
iteration
we
1,
c)
p(a, 6, c)
^"t(p(o,
6> c)
P(a>6
1.c))
get
p{a, b +
1,
c)
p(a, 6, c)
UbUbi
UbUb.x
6
=
Ua+l{p(a, a + 1, c) C7a+I(p(a, a + 1, c)
c
Adding
the above
1
=
equations for
a,
1,...,
we
get
p(a, c, c)
p(a, a, c)
D(a, c)(p(a, a
1,
c)
1),
Hence
B72)
imply
p(a, b + 1, c)
Adding these equations
we
p(a, 6, c)
=t
rEW6_i V{a,c)
Ua+l.
obtain

p(a, b + 1, c)
p{a, b + 1, c)
p(a, a, c)
+
t^tA
Ua+l
Ua+lUa+2
Ua+lUa+2 Ub)
D{a,b + 1) D{a,c)
Hence
we
Consequence
p(ll
p@,l,*;?) =nlim
A^=1)
=
1,
B7.3) B7.4)
P{limp(n,l,0;?)
0}
1.
275
B7.3)
B6.3).
In order to
see
B7.4)
observe
(n,l)
and
proof will be
<
<
b <
oo
we
have
P{liminf Rn
noo
a}
PllimsupiZn
Rx
6}
0.
particle
returnes to 0
or
it is
going
=
to +oo before
for any e > 0 there exists an n0 no(e,?) such that p@,1, n) 1 ^ > 1 e if n > no. Consequently the probability that the particle returns to 0 is larger than 1
NONACTIVATED VERSION 27.2 Guess how far the particle is going away www.avs4you.com in RE
an
for any
> 0
Introduce the
following
notations:
=
M+(n) V '
M~(n)
max 0<ifc<n
J?t,
min
Rk,
=
M{n)
Po Pi
max{M+(n),M(n)}
0,
max
Osifc^fl
\Rk\,
min{ifc mm{k
k > 0, Rk
0},
k > ph
Rk
0},
?(n) u{n)
Observe that
max?(A:,n), #{:
0 <
<
1, RPi+i
1}.
?@, pn)
n.
276
CHAPTER 27
Our aim is to
study
the behaviour of
M(n). Especially
in this section
given.
environment when
Consider the
simple
(C.I), (C.2) and (C.3) are satisfied. Note also that in the {..., 3/4,1/4,3/4,1/4,3/4,...} the behaviour of the random
that of the
same as
walk. For
example,
it
a.s.
Bnloglogn)~1/2.
{..., 3/4,1/4,3/4,1/4,...}
is
nearly
the typical of
are
thinking long blocks containing mostly 3/4's and long blocks containing mostly 1/4's.
Assume that in
one, M(n) will be practically n1/2 in most environments. This way is not correct because we know that in a typical environment there
environment
max
l<Jfe<n
Tk
and
min
l<*<
Tk
which is
B6.10), B6.11)
1

we
have
p@,1, n)
and
pJ"
exp(n1/2)
p(n,1,0)
This
means
that the
particle
arriving n or n. Hence to arrive n requires at in n steps the particle cannot go farther than (lognJ. This way of thinking is due to Sinai A982). He was the first one who realized that having high peaks and deep valleys in the environment, for the particle it takes a long time to go through. Clearly high peak means that T(k) is a big positive number for k > 0 resp. it is a big negative number for k < 0 while the meaning of the deep valley is just the opposite.
277
27.3
have
TE{u{n)
k}
fyEfr
E0)nk,
.
limsup,o
where un is
rj^f0}
u/2=l
defined
in Section 27.2.
Proof is trivial.
1,2,...
we
have
"
) <k\yn}
(p@, L
prove
our
we
have
a.s. a.s.
(P?), (P?),
B7.9) B7.10)
<
B7.11)
By Lemma
27.4 and
B6.26)
we
have
/
1
278
CHAPTER 27
n
< 1
1
E0Qn
E0Qn
n(logn)
where
(logn)
N{n)
=
1+e
and
D*{N)
Let nk
=
Qn(log nI+e)
get
Cantelli lemma
we
(cf. B6.16))
a.s.
finitely
<
many k. If nk <
<
< nk+1 we
have
M+(pn)
M+(pnk+i)
/
<
fn(lognI+eJ
B6.26)
a.s.
(P^)
Hence
have the upper part of B7.9). Now we turn to the proof of the other
we
inequality of B7.9).
By Lemma
27.4 and
have
1
Hence
we
The
B7.9) by the Borel Cantelli lemma. proof of B7.10) is identical. B7.11) is a trivial

have
consequence of
B7.9)
and
B7.10).
In order to get some estimates of M(n) interested to estimate pn or equivalently ?@,
general form
we
present
few results
describing
1,2,... and
?(z,n).
LEMMA 27.5 For any integer k
1=
any environment
we
have
Eo
D(k)
E0(lD{k)D
Consequently
Eo
L\
if 1
0,
IK1^)'1*'1'2'"
(?=1,2,...).
D(k)
279
Proof.
Clearly
we
have
=
,Pi)
0}
Eo
E0p{0,l,k)
D(k)
In
case
1,2,...
we
get
=
:,Pl)
1}
E0(l p(O,l,k))(l
y=o \
Ek)p(O,
l^A'
1
!>*(*)
gives

LEMMA 27.6
(Csorgo
Horvath
any k
1,2,...
B7'12)
log(l
^J).
Especially
^le*(l2A)
Observe that
and
2AeA
~2
Proof. As
l/
0<A<1/2we
an
example
we
prove
B7.14). By
Lemma 27.5
have
;i^*)
280
CHAPTER 27
Remark 1.
B7.12) implies
> 0
mk >
J exp((l
e)crBJkloglogikI/2)
i.o.
a.s.
and
mk<
l^exv{{le)o{2k\og\ogkI/2)
=
i.o.
a.s.
we
have
nm

U(k,Pn)nmk y/nak \
ak y/2n
<
J
i
a.5.
limsup
n*oo
(p?).
B7.18)
LEMMA 27.8
somewhat

deeper
consequence of
Horvath
Revesz,
For any
and any k
1,2,...,
we
have
E? exp(A(?(A:, Pl)
where
5
mk))
1 +
a\
X2
X3ek
>k\ ^
and A is
positive
constant.
we
get
1
eA
D*{k)
D(k)h(X)
(D(k)h(X)J
n(D(k)h(X)K)
281
with
0
<
1,
r)
<
1, where
Consequently
x(f_ f
big enough.
Hence
A2(Z?(A:)J
by B7.14)

<A\\\*(D(k)L
if A is
we
have
+
E?expA?(*,pi)
(l
Amt
A2
D(k) \lE
Multiplying
the above
inequality by
=
exp(Amfc)
one
Xmk
m\+r)rn\
A2
A3
1,2,... and
>
1,2,...
we
have
,P)
Proof.
"
nmk\
xy/n}
<
2exp
Apply Lemma
A
27.8 with
xn/2^2
and
Then
we
get
,pn) 2 )
<2
nmk))
and
we
This last
inequality gives
where k
can
very
sharp
result for
?(fc, pn)
to
big. In
cases
be very
prove
big it is worthwhile
give
another consequence
we
CHAPTER 27
C{K)
> 0
such that
C\ognD*{k)}<nK
B7.19)
Proof. Let A
Xk
$j.
+
Then by
B7.15)
and
B7.16)
we
get
CDt{k)\ogn}

exp
,pn) > expBAnmfc + XCD*{k) logn)} Pl))n exp(2Anmfc \CD* [k) log n)
,
1 exp
(n
("
which proves B7.19). A very similar result is the following: LEMMA 27.11 For any CY
(cf. (C.l))
we
have
< exp
{k
1,2,.
..;n
1,2,...).
=
Proof. Let A
Afc
^*y.
Then by
B7.15)
and
B7.16)
we
get
> exp
J J
< exp
(
\E?(exp(\Z(k,pn)))
exp
f
E?(expA?(A:,pi))
2AeA
<
exp
283
Hence
An
we
have
B7.20).
result describes the behaviour of
analogue
?(A:,pi)
when A: is
big positive
number.
positive
constants C and
>
C\ such that
<
??{Z{k,Pi)
and
>
CxD*{k)\ogk  ?(*,Pi) i)
>
0}
<
Cxk2
B7.21) B7.22)
0}
CAT2.
negative
Clearly,
we
have
Pi)
Consequently
>
0}
p@,k l,*)(l
p@,*
I,*)I
Hence
P?{nk
> L
 e(*,Pi)
>
0}
(D'ik))1I.
B7.23)
<
Ck~2
e
and
we
have
there exists
where
^fc
Ek
6. Hence by
B7.23)
we
have
> >
log A:  ?(*,pi)
0}
l?*(*) log*,m* ^*e(*,Pi) I ?(*,Pi) > 0} !l?*(*) log^M* < Ekt(k,p!)  e(*,Pi) > 0} log A:  ?(*,pi) > 0}
<=C!D#(Jk) log
f)
P?{k
Jk
<
Ekl  ?(*,pi)
i}Pf(e(*,pi)
>
0}
that
?(k, pn)
284
CHAPTER 27
LEMMA 27.13
Ek p@, k
1,
k)
with
some
constant C > 0.
Proof. Let
l
if
,
max
RPi+j>k,
+ ?ni.
otherwise,
=
Srt
fo + ?i +

Then
i}
?o(ip(o,i
inequality
i2
<
...
<
is
<
Rp+i
> k
and let
i/,
e(fc,p4i+i)
?(*,*,.)
(j
1,2,...,5),
Further, positive
i.e. Vj is the number of excursions away from k between pii and p,y+i. let i/;~ resp. i/t be the number of the corresponding negative resp.
excursions. Then
!/,
!/+ +1/7,
q
=
T>e{vJ =m}
and
(lq)mlq,

(l
inequality
we
obtain
285
Hence
~
< nmk
npj
u
<
Cexp
(^j
Pf
i/f
i/f
I/."
< nmk, S
Since Vj > vj we have the Lemma. Now we give an upper bound for pn.
e >
0 and
for
all but
finitely
many
we
have
where C is
Jk=/(n(logn)+)
a
Jk=/(n(logn)+)
big enough
constant.
Proof.
By Theorem
27.2
we
have
/(n(tofn)+)
Jk=/(n(logn)+) Lemma 27.10 and the Borel

I(n(logn)l+*)
Clogn
k=0 Jk=O
^
Jk=O
D*{k).
Analogous inequality
can
be obtained for
negative fc's. Hence we have B7.24). simpler upper bound of pn is given in the following:
e >
0 and
for
all but
finitely
many
we
have
/(n(lofn)+')
Pn <
n{\ognJ+e
?
Jk=/(n(logn)+)
mk
a.s.
(Pf).
286
CHAPTER 27
Proof.
we
/(n(lognI+e),
have
Hence
)
Clogn
Since
J2
k=0
D*{k)<n{\ognJ+2<
be obtained for
?
Jk=O
mk.
analogous inequality
can
negative
fc's
we
following:
THEOREM 27.5
pn>maxmk
4
cA
a.s.
(P?)
and f3 is
B7.25)
defined
in
where A
An
{k
0 <
D(k)
<
Chapter
k^},k
<
C/12
(C.l) of
26.
Proof. Since
Remark 2. Remark 1
easily implies
that
=
oo a.s.
(Pi).
inequality
pn > In.
B7.25)
of
Clearly having
we can
the upper bound B7.11) of M(pn) and the lower bound B7.25) obtain an upper bound of M(n). Similarly having the lower bound
B7.11)
M(pn)
B7.24)
of pn
lower bound of
M(n)
can
ft{n) f;{n)
g(n)
hln) v '
max{/(n(lognI+<),/(n(lognI+)}, max{/(n(logn)1e),/(n(logn)1e)},
/(n(logn)'+<)
n(lognJ+<
?
Jk=/(n(lognI+)
287
Then
for all
but
finitely
many
f:(glH)<M(n)<f?(hl(n))
where
a.s.
(P,)
resp.
B7.26)
h().
g~l{)
resp.
h~l()
are
the inverse
functions of g()
/;
27.2 and 27.5
<
M(pn)
<
M(</(n)),
get
and
we
Remark 3. Note that knowing the environment ? the lower and upper bounds of B7.26) can be evaluated.
27.4
Having Theorem
prediction
of the
physicist
say
7(n(lognI+e)
and the
<
(lognloglogn.logp^nOogpnI^J
are
B7.27)
Theorem 27.2
analogue inequalities
true for
M~(pn)
and
M(pn).
and Lemma 26.4 also suggest that B7.27) and the corresponding inequalities for M~(pn) and M(pn) are the best possible ones. It is really so. In fact we have THEOREM 27.7
we
(Deheuvels
any
> 0 and p
1,2,...
have
M+{pn)
M
<
(lognloglogn.logp^nOogpnI^J
if
n
a.s.
(P)
is
big enough,
i.o.
a.s.
>
(lognloglognlogp_1nlogpnJ
(P),
B7.28) B7.29)
~?
as
log3 n
The
same
(P) ^
and
n n
big enough.
B7.31)
inequalities
hold
for M~(pn)
M(pn).
288
CHAPTER 27
Proof.
B7.27) gives
finitely
the
proofs
of
B7.28)
and
B7.31).
a.s.
Since
by Theorem 27.2
many
M+{pn)>I{n{\ogn)1")
and
(P?)
by B6.20)
/(n(logn)1')
we
> >
((logn (l + 2er) log2 n) log2 n logp+1 nJ (lognlogjfi logpTiJ i.o. a.s. (Pi)

have
B7.29). Similarly, by
Theorem 27.2
a.s.
M+(pn)<I(n(\ognI+g)
and
(P?),
by B6.21)
B7.30). Clearly, the physicist is more interested in the behaviour of M+(n),M~(n),M{n) than those of M+(/>), M" (/>), M(/>n). Since pn > In by B7.28) and B7.30) we have
hence
we
THEOREM 27.8
we
have
get
Revesz,
For any
> 0 and p
1,2,...
M+(n) <(lognloglognlogp_1n(logpnI+'J
if
and
n
a.s.
(P) B7.32)
is
big enough,
The
same
inequalities
hold
To get
a
M+(n),M~(n)
we
M(n)
is not
so
easy.
However,
as
prove
any
e
THEOREM 27.9
(Deheuvels
> 0
we
have
for
any
> 0 and
for all
but
finitely
many
n.
The
same
Af(n) andM{n).
289
Proof. Let
+
0+(n)=n(logn)a+*
Then by Condition
?
Jk=O
mk.
and
B6.6)
e
9+(n)
<
^n(lognJ+<
?
Jk=O
<
^n(lognJ+/(n(lognI+e)
x
max
2e)crB(lognJ(log2 n) <exp(logn(loglognI+2e).
exp((l
+
B7.35)
It
can
be shown
any
> 0
g{n) <exp(logn(loglognI+e)
a.s.
(Px)
B7.36)
if
is
B7.26)
and
B7.38)
combined
imply
the Theorem.
Chapter
What
28
can a
physicist
local time
?@,n)?
on
28.1
the environment
In this section
results
are
study
few further
there exists
<
...
random
of integers
0 < nx
such that
Tn. <A
where bn
e)ob~l
and
max
Tj
<
n\/2{log nk)~s
and
B8.1)
b(n)
Bnloglogn)/2.
Consequently by B6.5)
B6.18)
^2~5)
and
B8.2)
Proof.
B8.1)
follows from
E.11)
a
and Invariance
Principle
2 of Section 6.3.
n2(oJi)
<
...
random sequence 0 < nx and two constants Cx > 0, C2 > 0 such that
n1(u;1)
<
n2
Tnk
>
C2b~l
(
and
{Ti <<><nit
max
Tj) "
<

Cl
*
\1/2
.
Vloglogn/
B8.3) '
v
291
292
CHAPTER 28
D{nk)
max
> exp
(C7bl)
and
o<.<y<nt
D*{j) wy
< exp *
)/
B8.4)
'
Proof.
2.
B8.3)
is
simple
Principle
28.2
Since
f @, n)
?{Q,pn)
B7.36) imply
have
> 0
we
>n)
i.e.
<
?@,exp(logn(loglognI+e))
for
all but
we
finitely
many N.
Now
prove that
B8.5)
is
we
have
> 0
'^,)
Proof.
,.......
(P).
let
B8.6)
{Nk}
as
follows:
Nk be the largest
integer
where
nk
by B7.9)
+ 2 > nk
a.s.
M+(pNk)
for all but
0
I(Nk(\ogNk)ll+<M)
many
>
/(iV^logiV,)1')
=
(P)
finitely
<
k,
Nk such that
?{nk,PNk) > 0. That is to say, there exists a ?{nk, (Pj,pj+l)) Unk,Pj+i)^{nk,Pj) > 0. Hence
i.e.
<
P?{Z{nk,{Pj,pj+l))
nk2D*{nk)}
<
Cn~k\
n) ?
293
and by
B8.2)
Cantelli lemma
>
?(*,(P/,Pi+i))
for all but
nl2D*{nk)
=
exp((l
e)ab~lk)
a.s.
(P)
finitely

many k
(where j
j{k)). Consequently
>
Pj >
?K, (p,,P,+i))
exp((l
e)ablk)
a.s.
(P)
B8.7)
Vfc)A+<)
i.e.
D(I(Nk(\ogNky(l+e))
1)
<
?>(nfc)
<
exp(ni/2
B8.8)
finitely
many k
n*>^log2iVfc(loglogiVfc)W.
B8.7)
and
B8.8)
combined
imply for
PNk>exp(\ogNk{\og\ogNkY')
B8.9)
we we
(P).
be.
B8.9)
in turn
be
as
small
as
can
be. In fact
prove
C(f3)
> 0
such that
^@, N)
where
> exp
( (l
^j^J Nj
log
i.o.
a.s.
(P)
Proof. By
B7.12)
we
have
Eo
D(j)
D(j)
a
B810)
=
Hence
by Lemma
C(K)
n)
1,2...
let
,n
1,2,...).
B8.11)
follows:
>nfc
B8.12)
294
CHAPTER 28
where
{nk}
B6.23)
exp
is the random sequence of Lemma 28.2. Observe that for all but finitely many k
<
by B8.4) and
(C2bnl)
D(nk)
<
D(I(Nk(\ogNk)l+<))
<
Nk(\ogNk)l+e
a.s.
(Px).
Hence
L^^
3
a.s.
Nk
(PO,
B8.13)
and by
B7.9)
finitely
many k
a.s.
M+(pNk)<I(Nk(\ogNkI+''2)<nk
Consequently
(P).
tU,Psk)
By B8.10), Lemma
such that
27.10 and
0 if
j>nk.
a
B8.14)
C
=
B8.13)
C(K)
> 0
Hence
nkNkK
<
B8.15)
we
by the Borel
www.avs4you.com
<
Cantelli lemma,
and
B8.4)
get
CNknkexV
C
%r
<
log2 Nk
Nexv{)
for all but
(d \ogNk\
finitely
inequality
we
can
sum
Ef=i Z{J,PNk)
E^_oo ZU>PNk)
have
big enough, which implies Theorem 28.3. Looking through the above proofs of Theorems 28.2 and 28.3 one can realize that somewhat stronger results were proved than stated. In fact we have proved
if k is
?@, n) ?
for all
e
295
> 0
and C
big
enough
of positive integers
and
<
...
mx
such that
?@,nfc) <exp
and
,,)>
Remark 1. Theorems 28.1

op
((lj^Jlogm,).
as we
However, Theorem
28.4
can
physicist. Knowing
big or points
find the timepoints where ?@, ) will be very very small while the physicist can only say that there are infinitely many where ?@, ) takes very big resp. very small values but he does not know
prove that
one.
have
?@, n)
for all but finitely
many
n
<
exp((l
6n) log n)
a.s.
(P)
where
following
notations:
M+{pi,Pj+i)
tfj*(N)
Note that
max
Rk
:
G
n
1,2,...),
max{n
5.8
0 <
<
N,T{n)
by Theorem
obtain
max
(especially Example 3)
<
and
by Strong Invariance
Principle
we
Tk
e(b(*l;*(N)))1
a.s.
(P)
B8.16)
296
CHAPTER 28
for any
> 0
finitely
many
n.
B6.5)
and
B8.16)
>
nexp(
=
Consequently if
C is
any
1,2,...
we
have
and
by the Borel
Cantelli lemma
J",n)
for all but
we
a.a.
(P)
B8.17) ij)*(N)
finitely
many
n.
Applying
obtain
O
Hence
n
< exp
(
B8.18)
we
B8.17)
and
get
(JV)
Applying Theorem
5.3
we
l))))
B8.19)
obtain
finitely
many N.
B8.19)
and
B8.20) imply
>
that with
some
C > 0
>
ffi^le(o,n)exp(^F@*(iV)))1)
finitely
many
n
e@,n)exp
^j
a.s.
(P)
where
Hence
we
Remark 2. Since
there is
an
Chapter
29
In this
chapter
we
sequence
?(n)
max*
?(k, n).
A trivial result
can
any
> 0
we
have
We also get
Consequence of
B9.2)
It looks obvious that much stronger results than those of B9.1) and B9.2) should exist. In fact we prove (Theorem 29.1) that (under some extra condition on ?)
p
n*oo
^0
Tl
a.s.
(P).
THEOREM 29.1
(Revesz, 1988).
=
Assume that
Pl(Ei
Then there exists
a
p)
^{Ei
=
p)
\
a.s.
< p <
1/2).
B9.3)
constant g
g(p)
> 0
such that
limsupn1^(n)
>
g(p)
(P).
297
298
CHAPTER 29
Remark 1. Very likely Theorem 29.1 remains true by the usual conditions (C.I), (C.2), (C.3). Note that and
(C.3).
we
At first
introduce
on
min{k :k>0,Tk AiV}, min{k :k>0,T.k AiV}, minlr* : 0 < k < pt{N)}, max{r_fc : 0 < k < p
= =
simplicity
from
now on we assume
that
n%
>
definitions
aN
_
NONACTIVATED VERSION pf{N),Tk /iNA}, max{Jfc f maxjifc AiV} www.avs4you.com AiV} max{k
as
=
follows:
:
0 < k <
: :
Tk
fxNA
=
if such
exists,
k <
0, Tk
+ fxN A
otherwise,
LN(j)
<k<pt{N),Tk + nNA AiV}, L(A(fMNj),(T^,r^)) =#{k:T^<k< r+,Tk max{ry T{ : r^ < i < j < aN},
fc :aN
=

/inA +JA},
max{r,
Ty
and
on
fl:
Fn
GN
Hff
For the sake of
the process
: : :
aN},
=
F^, Rk
or
riJ}
Fn
simplicity
can
be
in
Fig.
if k
Tk
Tk
is shown.
f Tk
0,
Tk if k
< 0
299
Figure
Now few lemmas.
we
absolute constant 6
<
0 <
such that
where
Proof.
Consequence
1 of Section 13.3
<
Ti{LN(j)
is
6/2
Aj
2,y
0,1,..., N
1}
B94)
It is easy to
larger than
that
an
absolute
positive
constant
independent
from N.
see
?,/(*)<}
is
B9.5)
absolute positive constant independent from N (cf. Consequence 4 of Section 10.2) and the events involved in B9.4) and B9.5) are asymptotically
an
larger than
independent
Let N
=
as
>
oo.
a
Hence
we
Nk(?)
<
be
sequence of
positive integers
for which
LN{J) (by
6/2
Aj
+ 2
(j =0,l,...,iVl),
an
and infinite
holds
sequence).
300
CHAPTER 29
e >
we
have
?@, FN)
< exp
({1+
>
HN
Fs)
exp((l e)N),FN<
exp
(^ *)N)
B9.7)
B9.8)
(N
Nk)
a.s.
(Pf) for
all but
finitely
many k and
a.s.
o{GN)
(Pf).
=
B9.9)
Nk
we
B6.5)
=
have
M >aN}
and
<
Eo) exp(
max
Tk)

(cf.
27.2).
easily obtain B9.6). The above two are required to arrive at p~[(N) than at a#. Hence we get B9.9). The first inequality of B9.7) and B9.8) can be obtained similarly. In order to prove the second inequality of B9.7) observe that by B9.8) and B9.9)
Hence by the Borel Cantelli lemma we inequalities also imply that more excursions
^=E^W=
i=oo
a.s.
E aJ,FN)<(aNlpj(N))exp((l
i=r7(N) and for all but finitely many k.
e))
(Pf)
for any
> 0
proved.
301
Introduce the
following
Pi
=
further notations:
=
min{n min{n
: n : n
>
>
0,RpN+n
aN},
pi,RFf/+n

as},
?{j,FN+pn)
aN2
=
1+
E *xp{{TailiTk))
{1pUJ+U*n))1
D{j,aN).
and
D*{j,N)
Observe that
Dh, as)
Dlj,

a^
1)
Clearly Lemmas
?/_!
exp(Taw_i
Tj).
be reformulated
as
follows:
have
P.
>
< exp
where
Cx
>
C(K)
<
> 0
such that
Pf
CD*(j,N)
lognl J
n~K.
B9.11)
simplify
now on we
that r^ > 0. The case t^ Let 1/2 + e < ^i A < V>2 < 1
n
=
< 0 can
?
be treated
similarly.
with
some e >
following
notations:
[exp(V>2iV)]
<
where N
Nk
Nk{?)
and
X{j)
Consider any
min{fc : r^
E
<
aN,Tk
Then
/
integer /
(x{4>iN),aN). (
<aw(,
Ta^i))
Np(ViAiV)
302
CHAPTER 29
a.s.
(Pf)
finitely
many k and
by B9.10)
<explexpl
Consequently by B9.9) and Lemma
aNl
29.1
f)*
E
)
y.A.)<c,
i
OtN1
oo
+
j=o
2J exp(/A)
/(A)n
a.s.
(P) B9.12)
Let / e
finitely
many k.
by
<
Consequently
() ()
,
E e(/,Pn)<2(lf;aN)n j:
2
p
fJ^r ED{lN)
Clogn
l=T
o(n).
B9.13)
B9.12)
and
B9.13)
combined imply
aN\
?(J,P)<2/(A)n
for all but
a.s.
(P)
B9.14)
finitely
many k.
Similarly
that
303
Hence
by B9.7)
+00
J=0O
T^
we
Let
4/(A)n.
>
Then
get
+
e)m)
?(Fn
m)
?(Fs
pn)
>
?(<*#FV
pn)
4/(A)
we
sequence
of positive
integers
nx
nx{?)
< n2
n2(?)
<
...
such that
Remark 2. On the connection of Theorems 29.1 and 29.2 the message of Remark 1 of Section 28.2 can be here as well.
Another
fulfilled.
simple
consequence of the
proof of Theorem
29.1 is
is
THEOREM 29.3 Assume that the condition of Theorem 29.1 there exists an e e(p) > 0 such that
=
fulfilled.
Then
n*oo
\
we
f
a
?(n)
present only
Conjecture.
lim inf ^noo
log log n
a.s.
and
liminf^(loglognK n
noo
oo
a.s.
P.
Chapter
30
A few further
problems
30.1
M{n)
(lognJ.
As
we
have
mentioned, this fact was observed first by Sinai A982). The result of to Golosov to investigate the limit distributions of the sequences
and
cr2(lognJ
the definition of a, cf. (C.3) of Chapter 26). In order to study the limit distributions of R^ and M^ he modified a bit the original model. In fact he
(for
assumed that Eo 1, i.e. the random walk is concentrated on the positive halfline. Having this modified model he proved that the limit distributions of the
=
sequences
{i2^}
and
{M^}
we
have
THEOREM 30.1
(Golosov, 1983).
lim
n>oo
> 0
T{R*n
l
<
u}
2./0
/U h2(v)dv
zn
=
C0.1)
where
n=0
zlvj
*\
j and
Bn
and
lim
P{M^ <u}=
305
fU hx{v)dv
C0.2)
306
CHAPTER 30
where
n=0
Considering
the
THEOREM 30.2
lim
noo
P{Rn
<
u}
7T
J oo
h3(v)dv
where
Sinai
A982)
on
also
proved that
there exists
an
=
probability (P). This means that knowing the environment ? we can evaluate the sequence {an} and having the sequence {an} we can get a much better estimate of the location of the particle Rn than that of Theorem 27.6. Golosov proved a much stronger theorem. His result claims that Rn an has a limit distribution (without any normalising facfactor), which means that knowing an the location of the particle can be predicted with a finite error term with a big probability. The model used by Golosov is
defined
Qt such that Rn
o((lognJ)
in
discussed up to now. He considered a random walk on the right halfline only and he assumed that the particle can stay where it is located. His model can be formulated as follows.
a
Let ?
(pi(n),po(n),p1(n),} (n
=
0,1,2,...)
=
be
sequence of
indepen
independent random threedimensional vectors whose components are nonnegative and p_i@) 0, pi(n) + Po(rc) + Pi(rc) 1 (n 0,1,2...). Assume further that
=
(i) (pi(n),pj(n)) (n
(ii) po(n) (n (iii)
=
1,2...)
are
are
identically distributed,
0,1,2,...)
identically distributed,
the sequences
{po{n), n
=
0,1,2,...}
and
{pi(n)/pj(n),
=
1,2,...}
< oo,
are
independent,
(iv) Elog(p_1(n)/p1(n))
0 and 0 <
E(log(p.1(n)/p1(n))J
>
a2
(v) E(l
po(n))
<
oo
and
P(po(n)
we
0)
> 0.
Having
the environment ?
{Rn} by Rq
if if if
=
=0 and
Y?{Rn+i
Then
we
i +
0\Rn
i,RnU,Ro}
(p^i)
Po@
9 =I, 0 0,
(pi(i)
0=1
have
307
THEOREM 30.3
(Golosov, 1984).
any
There exists
random sequence
{an}
de
defined
on
oo
< y < oo
lim
noo
T{Rn an<y}
F{y)
form of
the distribution
Clearly Theorems 30.1 and of the physicist. However, Theorem 30.3 physicist knows about the existence of an
Remark 1.
can
be considered
a
as
theorems
theorem of
use
on
?.
In
fact, He
would like to evaluate the distribution Pf {Rn <*n < */} I* is not clear at all whether the \\mn,0O'P?{Rn an < y} exists for any given ?.
Remark 2. Theorems 29.1 and 29.2 also suggest that Rn should be close to
an.
30.2
Nonnearestneighbour
i.e. the
moves
random walk
nearestneighbour neighbours. In the last to one of its neighbours.
a
model,
In
a
in
to
of its
or moves
can move
farther. Such
model
can
be formulated Let ?
=
follows.
(Pi(rc),Pi(n),P2(rc)} {n
0,1,2,...)
=
be
sequence of inde
independent, identically distributed threedimensional random vectors whose com1 (n components are nonnegative and p_i(n) + Pi(n) + p2(n) 0,l,2,...). Then we define a random walk {Rn} by Rq 0 and
= =
pi[i) P2{i)
if if
0 9
1,
2.
Studying the properties of {Rn} is much, much harder than in neighbour case. Even the question of the recurrence is very hard.
question
function
the nearestIn
fact, the
T{Rn
0 i.o.
1.
C0.3)
308
CHAPTER 30
This
question
was
studied in
above formulated
case
who in the
THEOREM 30.4
<*
=
(Key, 1984).
+
Let
+
Pi@)
P2@)
((Pl@)
P2@)J
4p_1@)p2@))J/2Bp_1@))1
and
(y)
Then
P{Rn
P{
lim
i.o.} Rn oo}
0
=
1
=
if
1
=
0,
>
if
1
0,
< 0.
P{Jiin
vnoo
Rn
oo}
if
Remark 1. Clearly this Theorem gives the necessary and sufficient condition of C0.3) if the expectation m exists. If m does not exist then the necessary and
sufficient condition is unknown,
in the
case.
case
where L and R
cannot obtain
are
an
positive integers) was also investigated by Key. However, he explicit condition for C0.1), but he proves a general zeroone
law which
implies that
P{Rn
His
zeroone
0 i.o.
or
1.
law
was
30.3
RWIRE in Zd
can
be
we
=
trivially extended
be
to the multivariate
case
case.
here,
2. Let
Un
{UJ}\ulp,U\ufp)
0,
\?
>
?#>
{UiJt ij
0, 1, 2,...}
309
twodimensional random environment. Having an environment ? random walk {Rn, n 0,1,2,...} can be defined by Rq 0 and
is called
a
=
=
P{i2n+1
P{Rn+1
1
(, j
l)\Rn
{iJ),Rnu{i,j),RnU
,
(i,j),Rnx,..,Ro}
U$\ ^
No
recurrence
P{i2n=0
in the
case
i.O.}=l
> 2.
Kalikow
class of environments
he proves
A981) gave necessary conditions. In fact, he gave a 0. As a consequence of his result 0 i.o.} where P{Rn
=
=
and
lp.
Assume that
p[a\ rK
C\)
^r
> max
\\
Then
p)[c2
a2)
=
d2)
Y{Rn
moreover
0 i.o.
0;
lim
RW
oo
a.s.
(P)
where
R^
is the
law, i.e. he
0
or
can
prove under
some
P{Rn
i.o.}
some
1.
This
zeroone
law
was
regularity extended by
two of them.
Andjel A988).
Kalikow also formulated
unsolved
problems. Here
we
quote
310
CHAPTER 30
Problem 2.
LetO<p<l/2
30.4
In
Nonindependent
environments
Chapter 25 we mentioned the magnetic fields as possible applications of the RWIRE. However, up to now it was assumed that the environment ? consists of i.i.d.r.v.'s. Clearly the condition of independence does not meet with the properties of the magnetic fields and most of the possible physical applications. In most cases it can be assumed that the environment is a stationary field. A lot of papers are devoted to studying the properties of the RWIRE in case of a stationary environment ?. In the multivariate case it turns out that having some natural conditions on the stationary environment ? (which exclude the case of independent en
prove the
recurrence
and
factor
30.5
Let
a
=
o(i),
0, 1,
=
2,...)
be
Ea,
for
some
0, Ea?
a
1,
E(expt<7.)
\t\
<
t0
(t0
>
0).
a
be
is called random scenery. Further, let {5*} (insimple symmetric random walk. Kesten and Spitzer
sum
A979)
were
interested in the
fc=0
If the
particle has
to pay
n
particle during
the first
whenever it visits i, then the amount paid steps of the random walk is n3lAKn. Clearly
a,
+00
by
the
fc=oo
311
where
?(, )
{Sk}Kesten and
Spitzer are arguing heuristically as follows: let T/Uo a* Lh t^ien one can define independent Wiener processes Wx and W2 such that W2(n) should be near enough to Ln and simultaneously ?(k, n)
Studying
the sequence
=
{Kn}
should be
near
rji(k,n)
(W2(k
Wi().
Hence
Kn~nZ'A
J
?
k=oo r+oo +oo
l)W2(k))Vl(k,n) C0.4)
rn[x,n)dWt{x).
OO
Since it is not very hard to prove that n 3/4 J+~ rji(x, n)dW2{x) has a limit disdistribution, the above heuristic approach suggests that Kn has a limit distribution. Applying Invariance Principle 2 (Section 6.2) and Theorem 10.1 it is not
hard to get a precise form of We note that Kesten and than the above
As
an
C0.4).
Spitzer investigated
an
a
much
more
general situation
one
and
they initiated
30.6
Construct
random environment
=
= =
on
R1 by the following
Let
Rq
0,
1/2 and let the weight P{.Ri 1} 1} Y{Ri 1) (t 0,1,2,...) be initially 1 and increased by 1
=
=
of each interval
(,
jumps
k <
n
across
it,
so
that its
weight
is either
at time
is
or
one
plus
( + 1,). Given {Ro 0, Rx (, + 1) (Rk,Rk+1) i, Rn in} Rn+l is either tn + 1 or tn 1 with probabilities proportional to the weights at time n of (in,in + 1) and (tn l,tn) where i,2, ,'* is a 1 {j 1, the sequence of integers with tJ+i l,2,...,n). Hence if i2i ij\ 1 is 2. Consequently weight of [0,1] at time n
=

such that
...,
and
P{R2
 #i
1}
?.
=
Similarly
P{i22
2
 i2j
=
1}
and
P{R2
of
 R,
1}
.
n
=
1, R2
2 the
weights
[0,1]
and
[1,2]
at time
T{R3
1
=
3\Rl
l,R2
2}
P{i23
l\R1
l,R2
2}
312
CHAPTER 30
In the
case
Ri
=
1, R2
0 the
weight
of
[0,1]
at time
2 is
equal
=
to 3. Hence
P{i23
Similarly
 Ri
1,R2
0}
P{i23
l\R1
l,R2
0}
.
P{i23
and
3\Rl
l,R2
2}
P{i23
l\Ri
l,R2
2}
P{i23
1
 Rx
was
l,R2
0}
1P{i23
 Ri
~l,R2
0}
.
introduced by Coppersmith and Diaconis (cf. Davis A989)) and studied by Davis A989, 1990). Intuitively it is clear that the random walk generated by this model is "more
This model
simple symmetric
random walk.
However,
to prove that it
is recurrent is not easy at all. This was done by Davis the recurrence in more general models as well.
A989, 1990),
who studied
in time and
practical
models.
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E. D.
A
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A988)
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A989)
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A972)
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Author Index
Andjel, E. D. 308, 309 Auer, P. 217, 222, 233, 235, Bartfai, P. 53, 74 Bass, R. 130, 131 Berkes, I. 32 Bernoulli, J. xiii Bickel, P. J. 170 Billingsley, P. 16 Bingham, N. H. 38 Bolthausen, E. 88, 311 Book, S. A. 67 Borel, E. 29 Borodin, A. N. 103 Brosamler, G. A. 146, 147
259
Dobrushin, R. L. 124, 125 Donsker, M. D. 209 Dvoretzky, A. 187, 195, 197, 207, Erdos,
P. v, 17, 18, 35, 39, 53,
215
62, 64, 74, 75, 142, 143, 144, 187, 195, 197, 206, 207, 213,
57, 59, 129, 130, 170, 184, 202, 205, 215, 217,
Chen, R. W. 59 Chung, K. L. 108, 114, 116, 142 Coppersmith, N. 312 Csaki, E. v, 18, 41, 44, 68, 70, 77, 78,
84, 89, 90, 103, 108, 111, 114, 115, 116, 119, 120, 122, 123, 139, 143, 144, 145, 163, 164, 166, 169 Csorgo, M. v, 63, 69, 115, 133, 134, 136, 137, 279, 280 109, 117, 136, 157, 110, 118, 137, 162,
Feller, W. 19, 20, 35 Fisher, A. 146 Foldes, A. v, 18, 21, 70, 77, 78, 103, 114, 115, 116, 117, 118, 119, 122, 123, 136, 137, 139, 145,
160, 162, 163, 164
Gnedenko, B. V. 19 Golosov, A. O. 305, 306, 307 Goncharov, V. L. 21 Goodman, V. 90 Griffin, P. 130, 131, 186 Grill, K. 18, 44, 65, 66, 68, 75, 88,
166, 168, Guibas, L. J. 57,
169 59
Darling, D. A. 170 Davis, B. 312 De Acosta, A. 89 Deheuvels, P. 18, 61, 71, 72, 75, 76,
287, 288
327
Imhof,
I. P. 165
328
AUTHOR INDEX
Ito, K. 147,
173
Kakutani, S. 215 Kalikow, S. A. 309 Karlin, S. 63 Kesten, H. 108, 114, 259, 260, 306,
310, 311 Key, E. S. 307, 308
Quails,
G. 170, 173
Khinchine, A. 30 Knight, F. B. 107, 145, 190, 191, 242 Kolmogorov, A. N. 19, 25, 35, 38 Komlos, J. 18, 53, 54 Kuelbs, J. 90 Kusolitsch, N. 63 Lacey, M. T. 147 Lamperti, J. 256 Lawler, G. F. 214 Le Gall, J. F. 211 Levy, P. 33, 100, 107, 146, 147 Lynch, I. 76
Renyi, A. 14, 19, 20, 28, 64, 74, 97 Revesz, P. 17, 18, 39, 57, 60, 62, 63, 67, 68, 69, 71, 72, 75, 84, 87, 105, 108, 109, 110, 111, 115, 116, 120, 122, 129, 130, 133, 134, 136, 137, 143, 144, 147, 162, 163, 164, 175, 217, 218, 227, 233, 235, 238, 241, 250, 279, 280, 287, 288, 297 Riesz, F. 81 Rosenblatt, M. 170 Russo, R. P. 69, 171
Major,
Samarova, S. S. 57 Schatte, P. 146 Shore, T. R. 67 Simons, G. 109, 111 Sinai, JA, G. 276, 305, 306 Skorohod, A. V. 52 Solomon, F. 273 Spitzer, F. 27, 191, 192, 219, 242, 310, 311 Steinebach, J. 76 Strassen, V. 32, 86 Szabados, T. 173 Szekely, G. 18 Sz. Nagy, B. 81

Taylor,
145, 184, 195, 197, 200, 202, 205, 206, 213, 214, 215,
242
S. J.
54
AUTHOR INDEX
329
Varga, T. 55, 58 Vincze, I. 109 Watanabe, H. 170, 173 Weigl, A. 147 Wichura, M. 91 Wschebor, M. 64, 68
Zimmermann, G.
133
Subject
Arcsine law 100
Index
Asymptotically deterministic
34
sequence
Bernstein
inequality
13
Borel
Cantelli lemma 27
Brownian motion 9
94
increments
17, 73
logarithm
28
31
EFKP LIL 35
large numbers
98, 100,
141,
165
19
142, 161
141
Ornstein
17, 20, 31, 35, 41, 163 mesure du voisinage 148 number of crossings 96, 109
range 44
132
23
Rademacher functions 9, 11 Random walk in random environment definition 265 local time 278, 292, 297 maximum 275, 277, 287, 305
recurrence
Random walk in Zd
241
217
273
331
332
SUBJECT INDEX
favourite points 232, 247 first recurrence 197 law of the iterated local time 197, 231 maximum 192
range 207
rate of escape 195
recurrence
logarithm
193
maximum 192
193
rate of escape 195
logarithm
183
selfcrossing 213 speed of escape 249 Strassen type theorems Reflection principle 15
.
194
embedding
scheme 52
Chung
39
Theorem of Hausdorff 30
Theorem of Hirsch 39
Wiener process in Rl definition 48 excursion 145, 147 increments 63
Wichura's theorem 90
local time 100, 105, 187 location of the last zero 169 location of the maximum 165
116