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RANDOM WALK

IN RANDOM AND

NON-RANDOM ENVIRONMENTS

Pal Revesz NON-ACTIVATED 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

office: 687 Hartwell Street, Teaneck,

NJ 07666 8DH

office: 73 Lynton Mead, Totteridge, London N20

Library

of

Congress Cataloging-in-Publication

Data

Revesz, Pal.
Random Walk in random and non-random
p. Includes
cm.

environments/Pal

Revesz.

bibliographical

references (P.

) and indexes.

ISBN 9810202377
1. Random walks (Mathematics)
I. Title.

QA274.73.R48
519.2'82-dc20

1990

NON-ACTIVATED VERSION www.avs4you.com


90-37709
CIP
1990

Copyright
All
in any

by World Scientific Publishing Co. Pte. Ltd.

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

JBW Printers and Binders Pte. Ltd.

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

You write Van


it

Zwet,
told

was

that the idea of that book

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

to Leiden in 1984 for

semester and to drink

quite
am

few beers with

Leiden, and the handout of that seminar


a

can

there. In fact I gave a seminar be considered as the very first

version of this book. I

indebted to Willem and to the


a

Department

of Leiden

for

very

I wrote this book in 1987-89 in Vienna

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

(Technical University) NON-ACTIVATED VERSION www.avs4you.com especially


partly

pleasant

time and

number of useful discussions.

sup-

Vienna,

1989.

P. Revesz

Technical
Wiedner

University of Vienna Hauptstrasse 8-10/107


Austria

A-1040 Vienna

Contents

Preface Introduction

xiii

I. SIMPLE SYMMETRIC RANDOM WALK IN Zl


Notations and abbreviations
1 3 9 9

Introduction of Part I
1.1
1.2 1.3 1.4 1.5

NON-ACTIVATED VERSION www.avs4you.com


Random walk

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 and the Zero-One Law


3.1
3.2

Recurrence
The Zero-One 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

The LIL of Khinchine vii

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

When will Sn be very


A theorem of Csaki

big?

5.5
6

Wiener process and Invariance 6.1 Two lemmas


6.2

Principle

47
47
48 52

Definition of the Wiener process Invariance

6.3 7

Principle

Increments
7.1 7.2
7.3

55 55
a

Long head-runs
The increments of Wiener process The increments of Ss

63

73

Strassen
8.1 8.2
8.3

8.4
9

NON-ACTIVATED VERSION www.avs4you.com


The theorem of Strassen Strassen theorems for increments The rate of convergence in Strassen's theorems A theorem of Wichura
Exact distributions

type theorems

79
79
86 88 90

Distribution of the local time


9.1 9.2

93 93 99
a

Limit distributions

9.3

Definition and distribution of the local time of

Wiener process

100 105 105

10 Local time and Invariance 10.1 An Invariance

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

11.6 Favourite 11.7

129
132

CONTENTS

ix

12 An

embedding

theorem

133
133

12.1 On the Wiener sheet 12.2 The theorem 12.3


.

134 137 141


zeros

Applications

13 Excursions

13.1 On the distribution of the

of

random walk

141

13.2 Local time and the number of

long

excursions
147 152
....

(Mesure

du

voisinage)
high excursions
can a

13.3 The local time of 13.4 How many times

random walk reach its maximum?

157

14 A few further results

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

NON-ACTIVATED VERSION www.avs4you.com


of Part I

173 177

II. SIMPLE SYMMETRIC RANDOM WALK IN


Notations
16 Recurrence theorem

Zd
181
183

17 Wiener process and Invariance


18 The Law of Iterated

Principle

189 193

Logarithm

19 Local time 19.1

197 197
204
206

19.2

f @, n) in Z2 f (n) in Zd

19.3 A few further results


20 The range

207
207

20.1 The range of Sn 20.2 Wiener sausage

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

problems the Dirichlet problem

255
258
260

24.2 DLA model 24.3 Percolation

III. RANDOM WALK IN RANDOM ENVIRONMENT

Notations

25 Introduction

NON-ACTIVATED VERSION www.avs4you.com


days
day
theorem of Solomon
recurrence

263 265

26 In the first six 27 After the sixth

269

273
273
an

27.1 The 27.3 A


27.4 A
28 What

27.2 Guess how far the

particle

is

going

away in

RE

275 277 287

prediction of prediction of
can a

the Lord the

physicist
say about the local time
on

physicist

f@,n)?

291 291 292

28.1 Two further lemmas


28.2 On the local time

the environment

f @, n)

29 On the favourite value of the RWIRE

297
305
305

30 A few further

problems
walk

30.1 Two theorems of Golosov


30.2

Non-nearest-neighbour random
Zd
environments

307
308

30.3 RWIRE in 30.4

Non-independent

310

CONTENTS

xi

30.5 Random walk in random scenery

310

30.6 Reinforced random walk

311
313

References
Author Index

327
331

Subject Index

NON-ACTIVATED VERSION www.avs4you.com

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 NON-ACTIVATED 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

least to the classical

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

NON-ACTIVATED VERSION www.avs4you.com

"Four

legs good,

two

legs better."

A modified version of f.he

Animal Farm's Constitution.

"Two

logs good,

logs better."
original Constitution

The

of mathematicians.

NON-ACTIVATED VERSION RANDOM WALK IN www.avs4you.com


I. SIMPLE SYMMETRIC
l

Notations and abbreviations

Notations
General notations
1.

Xi,X2,...

is

sequence of

independent, identically distributed

random

variables with

2.

So

{Sn}
3. M+ n

M~ n

NON-ACTIVATED VERSION M+(n) www.avs4you.com M~(n)


=
=
---

O,Sn

is the

+ Xn (n 1,2,...). S{n) Xl + X2 + random walk. (simple symmetric)


= =

V V

'

0<k<n

maxSk,
'

'

min

0<k<n

S*, *'
=

Mn

M(n)

max 0<fc<n

|5jt|

max(M^",M~),

4.

{W(t);t m+{t) m-{t) m(t)


=

>

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)

Bnloglogn)-1/2, 12a Hog + log log n) ) l{n, a)


=
-

7.

[x]

is the

largest integer less

than

or

equal

to

x.

I. SIMPLE SYMMETRIC RANDOM WALK IN Zl

8.

f(n) g(n) /(n)

>

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

meaning, just saying that

f(n) g(n) f(n) and g(n)


~

without any exact mathematiare close to each other in some

sense.

12.

$(z)

e~u

/2du

is the standard normal distribution function.

13. N

eN{m,a) ^P{a~l(N
is the

m) <x}

$(z).

14. 15.

#{...} =| {...} |
Rd
resp.

cardinality

of the set in the bracket.


space resp. its

16. B

17.

NON-ACTIVATED VERSION www.avs4you.com A()


Zd is the d-dimensional Euclidean
=

integer grid.

Bd is the

set of Borel-measurable sets of


measure on

Rd.

is the
=

Lebesgue

Rd.

18.

logp (p
resp.

p-th iterated of log and lg p-th iterated of the logarithm of base 2.

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
= =

Notations to the increments


1.

h{n,a) h{n,a)
h(n, a)

max 0<k<n-a

(Sk+a

Sk),
Sk\,

2.

QnnxJSk+a
max

3.

4.

lAn,a)

max

max|Sjt+,-

Sid,

NOTATIONS AND ABBREVIATIONS

5.

h{n,a)

min

max

0<k<n~a0<j<a

I S*+,- S* |,

6.

J1{t,a)=

sup
0<S<t-a

{W{s \W(s
sup

a) -W{s)),

7.J2{t,a)=
8.

sup
0<s<t-a

a)-W{s)\,

J3(t,a)= J4{t, a)
=

sup

0<t<t-a0<u<a

(W(s+u)- W(s)),
\W(s \W(s
+

9.

sup

sup

u) u)

0<3<t-a0<u<a

W(s)\,

10.

JM,a)=
Zn
<
n

inf

0<<t-a0<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.

Notations to the Strassen-type theorems


1.

2.
3. 4.

1), Unz] +(x- I~H X[nx]+1\ @ NON-ACTIVATED VERSION iut(x) btW(tx) @<x<l;t>0), www.avs4you.com

Sn(x)

bn

<

<

C@,1) S@,1)
which

is the set of continuous functions defined


is the Strassen's

on

the interval
?

[0,1],
for

class, containing those functions /()


< 1.

C@,1)

/@)

0 and

^{f'{x))Hx

Notations to the local time


1.

(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}

0, 1, 2,...; n 1,2,...) is For any A C Z1 we define the


=

2. 3.

77B:,*) (-cx> H(A,t)


=

<

<

+oo;t
5

>

0)

is the local time of

W(-) (cf.
a

Section
>

9.3).
is the

\{s

0 <

occupation time

t,W(s) 6 A} (A c of W(-) (cf. Section 9.3).


<

/21 is

Borel set, t

0)

4. Consider those values of k for which

S*

0. Let these values in


=

increasing
=

order be 0

p0 < pl < p2 <

...,
=

i.e. pl
:

min{A;

k > 0,
=

Sk

0},p2

mm{k

k > Pl,

Sk

0},..., pn

m\n{k

k >

pn-USk

0},....

I. SIMPLE SYMMETRIC RANDOM WALK IN

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) <
=
...

Pi(x) min{A; : x}-> ,Pn{x) min{A;


=

of
6.

Wiener process
=

min{A; : k > pi(x),Sk x},p2(x) : k > /v In case Clearly p,@) pn-i(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).

8. The random sequences

Si,... ,SPi}, E2
called the first, second, walk {Sk}.
are
...

\SP1,

excursions

(away

from

0)

of the random

9. The random sequences

Ei(x) NON-ACTIVATED VERSION E2(x) www.avs4you.com


=
=

are

called the first, second,

...

excursions away from

of the random walk

is*}.
10. For any t > 0 let
t

a(t)

sup{r

>

t,W(r)

excursion

0}. of W(-).
=

Then the

t,W{r) path {Wt(s);a{t)


:
r

<

0}
s

and
<

<

f3(t) (l(t)} is

inf{r

called

an

11. fn is the number of those terms of


are

equal
=

to 0

Si, 52,..., Sn which are positive but the preceding term of which is positive.

or

which

12.
13.

0(n) R(n) f@).7


r(t)

#{k

1 < k < n,

Sk-iSk+i

<

0}

is the number of

crossings.

max{A; : k > 1 k) f@, j)} is


=

a0<j<n-k such that the length of the longest zero-free interval.


u

for which there exists

14.

sup{s

> 0

for which there exists a0<

< t-

such that

15.
16.

\?(n)

max{A; sup{5
:

0 < k < n,
5

Sk

0}

is the location of the last

zero

up to

n.

i>(t)

0 <

<

t,

W{s)

0}.

NOTATIONS AND ABBREVIATIONS

17.

R(n) M+(j
n.

max{A: : k > k) M+(j)}


=

1 for which there exists

is the

a.0<j<n-k such that length of the longest flat interval of M? up to


such that

18.

sup{s : 5 > 0 f[i) m+(u + s) m+(u)}.


=

for which there exists aO<

< t- 5

19.

R*(n)

max{A;

k > 1 for which there exists

0 < j <

k such that

20.

r*(t) sup{s : 5 > m(u + s) m(u)}.


=
=

0 for which there exists a0< u<f-s such that

21.

(i(n)
walk

is the location of the maximum of the absolute value of

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

integers satisfying the above conditions then the smallest

will be considered
=

/x(n).

22. 23. 24. 25.

M{t)

inf{s

0 <
:

< t

for which
n

W(s)

m(t)}.
=

[nf{k S{k) M+{n)}. NON-ACTIVATED VERSION M+{t) inf{5 W{s) m+{t)}. www.avs4you.com places x(n) fi+{n)
=

0 < k < 0 <


5

for which

< t

for which

is the number of those

where the maximum of the random walk

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

UUC, ULC, LUC, LLC, AD, QAD (cf. Section 5.1),


=

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 non-well-defined 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

NON-ACTIVATED VERSION www.avs4you.com

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
=

the linear Brownian motion. Let Sn be the location of the

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

integers with |t'i


the first

|2

i|

|tn+1
we

tn|

1. It is also natural to ask: how far does the

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]

and consider its

dyadic expansion

where e<

NON-ACTIVATED VERSION e,(x)www.avs4you.com (t 1,2,...)


x
=

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

sequence of functions is well-

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

equivalent definition, by dyadic expansion,

is

rn(x)
The functions

l-2en(x).
called Rademacher functions.
It is
a se-

ri(x),r2(x),...

are

sequence of orthonormed

functions, i.e.

Observe that

NON-ACTIVATED VERSION www.avs4you.com


\{x : rh(x)
=

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

head and B wins

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
=

Let Xi, X2,... be

sequence of i.i.d.r.v.'s with

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

1,2,... and 6i,62,...,6n is

sequence of -f l's and

l's. Let
n

50
Then

and

Sn

? *k

(n

l,2,...).

A.5) implies

that

{Sn}

is

Markov
=

chain, i.e.

Sn-l
=

n-l)

^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

integers with |z'i

|2

t'i|

|n+1 -n|

1.

NON-ACTIVATED VERSION www.avs4you.com

Chapter

Distributions

2.1

Exact distributions
gives

A trivial combinatorial argument

THEOREM 2.1

where k

NON-ACTIVATED VERSION www.avs4you.com


n,
n

1,...,

n;

1,2,...,

2* +

l}=Bn+IV2"-1

B.2)

where k

B.1)

and

B.2)

1,n,... ,n; together give

1,2,

(mod2)'
B.3)

P{Sn

A:}

otherwise

where k

n,

n n

+
=

Further, for

any

1,2, 1,..., n; n 1,2,..., t 6 -R1 we


=

ESn
The

0,

E5^

n,

Eexp(*Sn)

-^

B.4)
by
ele-

following inequality (Bernstein inequality)

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

For later reference

we

present also

slightly

more

general form of the

Bern-

Bernstein

inequality.

THEOREM 2.3

(cf. Renyi, 1970/B,

p.

387).

Let

X{,X;,...

be

sequence

of

i.i.d.r.v.'s with

Then for any 0

<

< pq

we

have

>e\

<2exp

where

2pql NON-ACTIVATED VERSION X*n S; X\ X\ www.avs4you.com


2pq 11
+
=

and q

p.

THEOREM 2.4

(cf.

e.g.

Renyi, 1970/A,
n

p.

233).

k}=

[\n-k

B.5)

and

for

any t ?

R1
2n

+J Eexp(*M2+J

2~
Jk=O

kt

B.6)

Proof 1 of

B.5). (Renyi, 1970/A,


Mn
F+
=

p.

233).
max

Let

}
J=2

Xj.

Then
=

>fc

P{X1

l,M^=A:-l}

*+!}

DISTRIBUTIONS

15

-(Pn,Jk-l +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

NON-ACTIVATED VERSION www.avs4you.com


if
i

Pi(A:)

min{/ : 5,

*},

if

i.e.

Si

for / >

p\(k)

is the reflection of

Sj

in the mirror y

k.

(Hence

the

method of this proof is called

reflection principle.)

Then

\n-j
j=n

(mod 2)
n

j=n

(mod 2)

2""
j'=n

E
(mod 2)
>

(n-j)+2-
j=n

n-j
(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

THEOREM 2.5 For any

integers a<O<b,a<b,a<u<bwe have


=

pn{a, b, u)
=

P{a
-

< -M- <

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.

(Billingsley, 1968, p.78).


...

Po(a,b,u)
and
we

jQ
=

if

0 and

a2

b2

>

0,

otherwise?
holds for
we
n

satisfying
of

Note that that

B.10) B.10) NON-ACTIVATED VERSION B.10) pn@,b, w) pn(a,0,u) B.10) (since www.avs4you.com qn{j) <7n(-./))
obtain

easily.

Assume that

1 and for any a,

b, w

the conditions of the Theorem.


=

Now

prove

0 and the

same
=

is true

by induction. for the righthand side


we

the terms cancel because


case a n

Hence

may

assume

< 0 <

b. But in this

+ 1 < 0 and b
a

1 > 0. Hence
n

by induction

holds with parameters obtain B.10) observing that

B.10)

1,

1, b

1,

and

1,

1, b

1,

u.

We

and

pn(a, 6, j/)

-pn-i(a

1,6

1,i/

1)

-Pn-i(a

1,6

1,i/

1).

THEOREM 2.6 For any

integers
<

< 0 <

b and a<u<u<bwe have

P{a

< -M~ <

M+

b, u

<

Sn

<

u}
+

f
k=-oo
~

a)

<

Sn<v

2k{b-a)}
+

E P{2b-v + 2k{b-a)
Jk=-oo

<

Sn<2b-u

2k{b-a)},

B.11)

DISTRIBUTIONS

17

P{a
=

< -M~

<M+<b}
<Sn<b
<

E P{a + 2k{b-a)
k=-oo
-

2k{b-a)}
-

E ?{b + 2k{b-a)
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

NON-ACTIVATED VERSION 1976). (Erdos www.avs4you.com


-

Revesz,

p{n+j,n)

P{Il{n

j,n)

n)

3-^T
a

(j

0,1,2,..., n).
sequence of

Clearly p(n + j, n) is the probability that + j contains a pure-head-run of length n.

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

Aj-iAj.
any
t
=

Since

P(A0)

2~n and

PiAoAi. ..M>i)
can

2~n-1 for

1,2,... ,j-

we

have the Lemma.


The next recursion be obtained in
a

similar way.

18

CHAPTER 2

LEMMA 2.2 For any

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

less exact but

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

The idea of the

details

NON-ACTIVATED VERSION proof www.avs4you.com


1,2,...
;j

1,2,....
is the

same as

those of the above two lemmas.


to the

The

are

omitted.

The exact distribution of

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

Utilizing the Stirling Formula

(where
can

0 < an <

1)

and the results of Section 2.1, the

following limit theorems

be obtained.

THEOREM 2.8

1/2

the

(e.g. Renyi, 1970/A, p. 208). en < k < A inequality e)n is satisfied.

Assume that

for

some

0 <

<

Then

(n\

2"jr>

where K that

k/n and d(K) Klog2K + A \k-n/2\= o{n2lz) then


= =

K) log2A

K). If

we

also

assume

Especially

NON-ACTIVATED VERSION www.avs4you.com


2nJ-2n

The next theorem is the so-called Central Limit Theorem.

THEOREM 2.9

(Gnedenko

Kolmogorov, 1954, 40).

<x}- *(z)|
A

<

2m/2.

stronger version of Theorem 2.9 is the so-called Large Deviation Theorem:

THEOREM 2.10

(e.g. Feller, 1966,


<

p.

517).
hm
*-

hm
noo

Pjn-1/2^

-xn}

F{n-l'*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

(e.g. Feller, 1966,

p.

517).

Let

X{,X;,...

be

sequence

of i.i.d.r.v. 's with


EX'
=

0,

E(X'J
\<
<
r

I,

Eexp(*X;)

<

oo

for all

t in some

interval

to. Then

lim
n-oo

P{n-^S^

-xn}

lim

F{n-V*S;
1 +

>

xn}

$()
=

$()
+

provided that

0 < xn

o{n1/6)

where

S^

X{

X\

X*n.

THEOREM 2.12

(e.g. Renyi, 1970/A,

p.

234).
<

lim
noo

F{n-1'2M+
6

<

x}

P{\N\

x}

2S(z)

uniformly

in

R1 where N
lim

iV@, l). Further,


=

THEOREM 2.13

NON-ACTIVATED VERSION www.avs4you.com P{n-^2Mn <x} G{x) H{x)


lim
=

E(n/2Mn+)

B/ttI/2.

n'oo

uniformly

in

R1. Further,

lim
n-00

P{n/Mn
1
-

>

xn}

G(xn)

7-7r

lim
n-

Fjn^Mn

<

rr

x}

H{1)

where

provided that

0 < xn

o{nxl*).

Consequently for
>

any
-

> 0

?{n-l'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

B-18)

if

0 < xn

(n1/6)
we

and

n is

6*flr enough.
=

Remark 1. As
is small

claimed

asymptotic distribution in the


x

Finally

THEOREM 2.14
we

NON-ACTIVATED VERSION H(-) www.avs4you.com 1944). (Foldes,


is
more

#(z) however G{x) form of G(-) is proposed to

in Theorem 2.13 the asympbe used when x is big. When

adequate.

we

present the limit distribution of Zn.

1975, Goncharov,

For any
+

positive integer

have

P{Zn
where

[lg N}<k}= exp(-2-(fc+1)-^Ar>) [lg N].

o(l)

{lg iV}

lg

iV

Remark 2. As

we

have mentioned earlier the above Theorems


exact theorems and the

can

be

proved

using the analogous

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

Recurrence and the Zero-One Law

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

(Polya, 1921). NON-ACTIVATED VERSION i.o.) P(Sn www.avs4you.com following


=

1.

proofs

of this theorem. The first

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(k-i),
that
a

i} C.1) i).

i.e.

the

probability Clearly
we

particle starting from i hits

before

k is

k-1(k

Proof.

have

p@,0,*)
When the

l,

p@,M)=0.

particle is located

in

then it hits 0 before A: if

(i)
(ii)

either it goes to i 1 (with A: (with probability p@,t


or

probability 1/2) and

from i

1 goes to 0 before

l,k)),
and from

(with probability 1/2) (with probability p@,t + l,k)).


23

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

1,2,..., A: 1). Hence p@, i, k) is in k, which implies C.1).

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

Proof 2 of the Recurrence Theorem. Introduce the

following

notations

Po P

1,

2~U^) 1,2,...), NON-ACTIVATED VERSION 0}, {S2k www.avs4you.com


=

*{SU

0}

(*

A2k
q2k

0, S2Jk-2 # 0,52Jk_4 # 0,..., S2 ?

Jk=O
oo

(Note
to the

that q2k is the

probability
in the

of the event that the first return of the

particle

origin

occurs

Since p2k

BA:)-th (ttA;)/2 (cf. Theorem 2.1)


limP(z)

step but not


we

before.)

have

oo.

Observe that
Jk1

{S2k
and

0}

A2k

Y, A2k-2j{S2k

0}

Y{A2k-2j{S2k

0}}

q2k-2jp2j.

RECURRENCE AND THE ZERO-ONE LAW

25

Hence

@) A) .(ii) (iii) (k)


Multiplying
obtain
the Jfc-th

Po p2 P4 p6 P2Jk

1,
92, 94 + 92P2, 96 + 94P2 + 92P4, 92Jfc + 92Jk-2P2 H
<

H 92P2Jk-2,

'

'

'

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

obtain the theorem.

3.2

The above two

NON-ACTIVATED VERSION n} P{5jk www.avs4you.com


proofs
of the Recurrence Theorem
=

The Zero-One Law

are

based
1

on

the fact that if

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

less than 1 then

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,..., Yn-i) for every n, it follows that the probability of A equals either 0 or 1. More formally speaking we have
ZERO-ONE 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 Zero-One 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
n-oo

b}

0.

Proof is trivial. Proof 3 of the Recurrence Theorem.

3.2, the Zero-One 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 Zero-One Law.

NON-ACTIVATED VERSION www.avs4you.com

the Recur-

Chapter

From the

Strong

Law of

Large

Numbers

to the Law of Iterated

Logarithm

4.1

Borel

Cantelli lemma and

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
-

NON-ACTIVATED VERSION www.avs4you.com


CANTELLI LEMMA 1 Let AUA2,... be
<
oo.
a

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

finite number of the

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

infinite number of the

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

non-negative
<

r.v.

with EX

< oo.

Then

for

any A > 0

P{X
As
a

>

XEX}

\.
we

simple

consequence of the Markov

inequality
an

obtain
<
oo.

CHEBYSHEV
any

INEQUALITY

Let X be

r.v.

with EX2

Then

for

P{|X

NON-ACTIVATED VERSION EX| A(E(X EXJI/2} P{(X EXJ A2E(X EXJ} www.avs4you.com Similarly
-

A > 0

>

>

<

we

get

THEOREM 4.1 Let X be

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

Cantelli lemmas 1 and 2 and Markov

inequality

be found

practi-

practically

in any

probability

book

(see

e.g.

Renyi, 1970/B).

4.2

The strong law of A909).


lim

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

for almost all

[0,1].

In fact the

original theorem

STRONG LAW AND LIL

29

of Borel

was

formulated in this form. Borel also observed that if instead of the


we

dyadic expansion

consider t-s.dk. expansion


-

(t

2,3,...)

of

[0,1]

and

Nn(x,s,t)
first
n

l,t 0,1,2,...,t 2,3,...) of x, then digits of the 4-adic expansion

(s

is the number of s's among the

lim
noo

Nn{x,s,t)
n

(s

0,l,2,...,*-l;*

2,3,...)

D.2)

for almost all

x.

Hence Borel introduced the


x

following:
s
=

Definition. A number

[0, l]

is normal if for any

0,1,2,..., t

1;

2,3,...

D.2)

holds.

The above result easily


THEOREM 4.2

implies

(Borel, 1909).
Almost all
x

[0,1]

are

normal.
x

It is

interesting

to note that in

spite of the fact that almost all

[0,1]

are

normal it is hard to find any concrete normal number.


Proof 1 of

Hence

NON-ACTIVATED VERSION En-'S,, by inequality www.avs4you.com


D.1). (Gap method). Clearly (cf. B.4))
=

0,

EnS2
> 0

n.

Chebyshev

for any

Pdn^Snl >e}<
and

n~xe-2

by

Borel

Cantelli lemma 1

n~2Sn3
Now
we

a.s.

(n

>

oo).
in the gap, i.e. between

have to estimate the value of Sk for the fc's

lying

n2 and

(n

+
=

lJ.

If n2 < A: <
+

(n

IJ

then

lAT^I

\n-*Sn*n*k-x

A:E,

Sn,)|

<

\n~2Sn,\

k~l{{n

lJ

n2).

Since both members of the Proof 2 of

right hand side


of

tend to 0, the
A

proof is complete.
calculation

D.1). (Method

high moments).

simple

gives

and

again the Markov inequality and the Borel


we

Cantelli lemma

imply

the the-

theorem.

As
on a

will

see

later

on

most of the

proofs of

the strong theorems

are

based

joint application

of the above two methods.

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

n-1/2-eSn
Then
=

Proof. Let K be

positive integer.

simple calculation gives

ES2*
Hence the Markov

0{nK).

inequality implies
>

If K is

theorem.

Similarly

NON-ACTIVATED VERSION applied.) (The www.avs4you.com


so

nK+eK}
-

<

0{n~eK).

big that eK
one can

> 1

then

by the

Borel

Cantelli lemma

we

obtain the

method of high moments


prove

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(n-1/25n)

>

exp((l

e) logn)

n1+e}

<

n/

if

is

big enough. Consequently


lim sup
noo

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 so-called
Law of Iterated

Logarithm (LIL).

STRONG LAW AND LIL

31

4.4

The LIL of Khinchine

LIL OF KHINCHINE

A923).
Iimsup6n|5n|
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

1. We prove that for any

> 0

limsup6nMn
noo

< 1 + ?

a.s.

By B.16)

if

is

NON-ACTIVATED 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
<

many k. Let n^ <n < njk+1. Then


<

Mn

Mnt+l nt+l

e)bk+l e)b~lk+l
to 1.

<

2s)b-lk

<

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

evaluate the moments


we

generating function of Mn (or that of Sn) but

have

to use

the moment generthe stronger result of

Step

2. Let nk

[0*] @

>

1).

Then for any

> 0

"

Snk) >l-s}>

32

CHAPTER 4

if A: is
we

big enough. have by Borel

Since the events


-

{bnk+1 {Snk+1-Snt)

>

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

limsupn_oo bnSn implies


=

> 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.

For later references

LIL OF HARTMAN

generalization NON-ACTIVATED VERSION www.avs4you.com A941).


we

implies the

Recurrence Theorem of Section 3.1.

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

proved that if Yi, Y2,...

sequence of i.i.d.r.v.'s with


+

0 and

EYj2

oo

Iimsup6n|yi
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

Y\, Y2,... of i.i.d.r.v.'s for which EYi


lim

0,
a.s.

EYt2

oo

and

6n/(n)|yi

=0

Chapter

Levy Classes
5.1

Definitions
us
n

The LIL of Khinchine tells


can

exactly (in certain sense) how far


steps.

the

particle

be from the

origin after
> 0

A trivial reformulation of the LIL is the

following:

(i)

for any

and

NON-ACTIVATED VERSION A ^b'1 www.avs4you.com


s

Sn

<

a.s.

for all but finitely many

(")
Sn
>

?)Kl

i-o-

a.s.

Having
functions

in mind this form of the


monotone

LIL, Levy asked how the class of those


can

(or

increasing functions) /(n)


Sn
<

be characterized for which

f(n)

a.s.

for all but


any not
e

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

The LIL does

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

question whether b'1

is such

function

or

not.

Let

{Y(t),t

>

0}

be

stochastic process then

Definition 1. The function

UUC(y(*))) Y(t) <ai(<)

if for almost if t> t0.

ax(t) belongs to the upper-upper 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

upper-lower class
a
*

of

(a2

ULC(F(i)))
<

if for almost all

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

lower-upper class
a
+

of

(a3

LXJC(Y(t)))
<

if for almost all

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

to the lower-lower class of


a

(a4 G LLC(F(?))) if for Y{t) > aA{t) \it > t0.


Let

almost all

G n there exists

t0

to(uj)

> 0

such that

Yx, F2,... be

sequence of random variables then the

Levy

classes

UUC(Yn),
as

ULC(rn), LUC(rn), LLC(Fn) done above for Y(t).

of

{Yn}

can

be defined in the

same

way

it

was

We introduce two further definitions

definitions of the Levy classes.


Definition 5. The process exists a function G

NON-ACTIVATED VERSION asymptotically Y(t) www.avs4you.com (AD) a4(t) LLC(Y(t)) ax{t) UUC(F(*))
is

strongly connected with the

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

Clearly the UUC(rn)

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

formulate the celebrated Erdos


-

A942),
a(n)

Feller

A943, 1946), Kolmogorov


and

Petrowsky A930

35)

theorem.

EFKP LIL The nondecreasing function

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

take into consider-

Consequence

1. For any

e >

0 +

Sn
for all but

<

(nBloglogn
n.

e) logloglogn)I/2

a.s.

E.1)

Here
LIL

NON-ACTIVATED VERSIONE.2) (nBloglogn 3logloglogn)I/2 www.avs4you.com 5.3). (cf.


Sn
>

finitely

many

Further

i.o.

a.s.

we

present the proof of Consequence 1 only instead of the proof of EFKP

Remark 1 at the end of Section

Proof of

Consequence

1. The

proof will

be

presented

in two steps.
many
a.s.,
n

Step

1. We prove that for any

e >

0 and for all but

finitely

Mn

<

(nB log log n

e) log log log n)I/2


obtain

E.3)

which clearly implies

E.1). By B.16)
>

we

P{Mn
<
V 2tt

(nB log2 n

e) log3 n)I/2}
*
..

4A+4-1-!
J2 log2
n

lo8n (log2 n)

L_B_=3i+fLi-n n) loSn (Iog2


a

V^

E.4)

Let
njk
=

fexp
we

/
get

Then by the Borel

Cantelli lemma
<

Mnk

{nkB log2 nk

e) log3 n^)I/2

a.s.

36

CHAPTER 5

for all but

finitely
Mn
<

many k. Let nk <

< nk+l.

Then

Mnk+l

< <

(nJk+1Blog2 nk+l + C + e) log3 n^)I'2 (nJkB log2 nk + C + 2e) log3 n*)I72

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

and for any

Oik-1 (log k)-1), NON-ACTIVATED VERSION (log k)-*'2), www.avs4you.com


T(Ank)
=

<

m we

have

V(AnjAnk)

{*>>,) nJ1/J5Bj. ^(n,),^172^ <p(nk)} + T{nJ1/2Snj ^(n^nl^S^ <p(nk)}


>
> >

>

>

<V{tp*{ni)>nJ1/iSn.>ip{ni)
P
XP

_[5ni{

Sn.
'

>

n^

<p(nk)

(r^iogj)-*'*) + o(y-1(iogy)-5/2)
+ o

[o (rx(\ogjyy)

where

and

=
-

n.

LEVY CLASSES

37

Observe that

and
3

|
4

log log j logj

Hence
>

<p{nk)

'y/nk-Jnj
y/nk
>
-

y/*j
y/nk
if
-

3loglogy"\
rij 4

rij

log;

Since fx-l

i^3! 3

1<

< 4

and if
<x-\
x >

with

NON-ACTIVATED VERSION www.avs4you.com


j

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 >

<

<

(igi) log log y.

log j(log log./)

we

obtain

and
;+log;(loglog;)

Having E.7)

NON-ACTIVATED VERSION E.8) simple www.avs4you.com P(AnyAnJ=o((loglogiVJ)


and
a

P(An>AnJ

<

(j-'ilogj)-1 log log j)

E.8)

calculation gives

arid

EP(ilJ=O(loglogJV).
Hence the Borel
-

Cantelli lemma 2* of Section 4.1 and the Zero-One Law of


the theorem. A

Section 3.2

imply

simple

consequence of EFKP LIL is

THEOREM 5.1 The nonincreasing function

-c(n)

LLC(n-1/2S'n)

if and

only if Ix{c)
of

< oo.

The Recurrence Theorem of Section 3.1 characterizes the monotone elements

LLC(|5n|).
any
n

In fact

THEOREM 5.2 A monotone function

d(n)

LLC(|5n|) if and only if d(n)

< 0

for

big enough.
see

Remark 1. For the role of Kolmogorov in the proof of EFKP LIL

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

nonincreasing function a(n)

LLC(n-^M,,)

if and only if

h{a)

f; -'(a(n))-'exp (-?")
A965).
The

< <*>

THEOREM OF HIRSCH

nonincreasing function 0(n)

LLC(n/2M+)

if and only if

Note that Theorem of

Chung trivially implies

E.9)

is called the "Other LIL".

NON-ACTIVATED VERSION J www.avs4you.com


->

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

We say that very big i.o.

very

big if Sn

b~l. EFKP LIL of Section 5.2

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).

The result is:

40

CHAPTER 5

THEOREM 5.3

"-*00

(log log n)'/2 (log log log n) log n


constant with

log

a(n)
n

=-G

a.s.

where C is

positive

ry-2

< fi <

ol4

Equivalently

a(n)
for all but finitely
many
n

>

nx~Sn

a.s.

where

log log log n


n=

(log log nI/*-

The exact value of C is unknown.

Clearly

one

could say that Sn is very big if


< e <
or

1) @ NON-ACTIVATED VERSION log n)) (ii) | Bn(log www.avs4you.com

(i) Sn> (l-e)BnloglognI/2


Sn
>

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

min{A;: min{A;: min{fc ' min{A;:

k k k k

>

3, Sk

>

> a^, >

S^
Sk

b^1}, < b^1},


bfr },

0i, Sk

>

> a-i,

<

b^1},...

sequence of
_

integers {nk} by
c

n\

o,

n/c

r.

itxjfci-x

*+! l

iu \"'

o
">

q **>

Then by Theorem 5.3 between

n^

and nk+i there exist

integers j and / such that

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

in other words there


/

for any 0 that with

NON-ACTIVATED VERSION 8loglogn; ( -^M ^y www.avs4you.com


2

are

only finitely
\

many

for which

simultaneously
/ 2

i/2

V2

and

< e < 1.

At the

same are

time Theorem of Hirsch


many
n

(Section 5.3) implies

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

THEOREM 5.5 Let

a{n)

>

0,6(n)
~

> 0

be

nonincreasing functions. Then


=

<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

Applying Csaki's theorem this fact

NON-ACTIVATEDTtjyfc VERSION /4(a(n), 6(n)) implies www.avs4you.com


=oo

J4(a(n), 6(n))

if D

tt/v^

if D

>

C.

that the events


/

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

big enough and

\i/J

:
then it follows that

<c[\loglogn/
/

(o

<

c <

if

i Vs),

1/2

'n

>

D I

\\og\ognj

for any 0 < D

<

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 >

NON-ACTIVATED VERSION M? www.avs4you.com


F
>
one

n/y/2.

of the

for any

0 the events

{Mn+>i^BnloglognI/2
occur

and

M"

>

^BnloglognI/2}

infinitely

often with

probability 1,

but of the events


M"
1. In
>

{Mn+>^BnloglognI/2
only finitely
many
occur

and

^BnloglognI/2}
one can

with

probability
0 and

general

say

THEOREM 5.6 For any

e >

l/3<q<l
M~
but
>

the events

:
occur

>

e)gb-1

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

trivial consequence of Theorems 5.5 and 5.6

we

obtain

THEOREM 5.7 Consider the range Then for any e > 0 we have

M*n

M++M~ of the random

walk{Sn}.

(l A

+
-

e)BnloglognI/2 e)BnloglognI/2
'2

UUC(M^), ULC(M^),

ir

log log n) log log n)

'

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:

NON-ACTIVATED VERSION 6{n) ) www.avs4you.com nxl26{n)


| 0, T
oo,

7(n)

monotone,

oo.

Further let

f(n)

nl/2tjj{n)

ULC(S'n)

with

t/>(n) |

oo.

Define the infinite

random set of integers

Then

we

have

THEOREM 5.8
the

(Csaki

Grill, 1988). For


=

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,

n1/2( nx/2S{n) LLC(Mn-,n<r)


if and only if
OO

E
n=l

*()
n

w-pf-^<-.

LEVY CLASSES

45

Remark 1.
all but
>

nl/2-y(n)
>

UUC(M~,n
n

c)
n

means

that

nl/2-y(n)

>

M~

a.s.

for

finitely

many such

for which

Sn f{n) and M~ finitely many n.

n1/'27(n)
V(n)
=

inequalities simulteneously hold with probability 1 only for


<;.

In other words the

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

hold with probability 1 only for finitely many


/ e\ xl2

n.

However,
( A

The above two statements also follow from Strassen's theorem 1

NON-ACTIVATED VERSION (cf. 8.1). www.avs4you.com Further,


Sn
>

and

M~

>

I 1

e\1/'2\
1

I b~l

i.o.

a.s.

Section

Sn>(l--)
if and

b-1

and

M"

<n1/2(logn)-"/2

i.o.

a.s.

E.11)

only

if rj <

e.

Chapter

Wiener process and Invariance

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

NON-ACTIVATEDa)VERSION S{k)) {S{k a-vIx{n,a) www.avs4you.com speed @, n)


a~x
max

as

the average

speed of

average

of the

particle

in

over

the intervals of size


->

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 ! a-shmsup-^ tttt" Ba log log aI/2
-

a^oo

for any fixed k. We prove that fact we have


LEMMA 6.1 Let
a
=

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

2.10 for any k

(c2 logn)
47

n"c2/2

48

CHAPTER 6

as n

oo.

Hence

f
and the Borel
-

Cantelli lemma implies the statement.


can

Remark 1.
Section 7.3.

Much stronger results than that of Lemma 6.1

be found in

LEMMA 6.2 Let


with

{XfJ; *
EXfJ=

1,2,...;/

1,2,...}

be

double array of i.i.d.r.v. 's


< oo
a

0,

EXj
|<
tQ.

1,

Eexp(*XfJ)
for

for all

t in

some
=

interval

Then

any K > 0 there exists

positive

constant C

C(K)

such that

for all but finitely

Proof of Lemma 6.2 is

2.11 instead of Theorem 2.10.

NON-ACTIVATED VERSION www.avs4you.com


essentially the
same as

many i.

that of Lemma 6.1

using

Theorem

6.2

Definition of the Wiener process


a

The random walk is not

very realistic model of the Brownian motion. In fact the

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

be the random walk which describes the location of the

define

Brownian motion

S^^n)

"re-

S^(n),

i.e.

S^^n)
1/2

is

random walk with the properties:


or

(i)

the

particle

moves

to the

right

to the left with

probability 1/2,

WIENER PROCESS AND INVARIANCE PRINCIPLE

49

(ii)

the time needed for

one

step is

1/4,
same

(iii) S^(n)
a

hits the integers in the

order

as

S^(n)

does.

Observe that for

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

independent random walks. Sk(n)

governs the

particle between S(k 1) and S(k). Introduce the following notations:


To
rk
=

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)

NON-ACTIVATED Tk {k 1,2,...). (^) S{k 1) l-akSk{n Tk.x) if TM VERSION


=

sign^S^)
-

S{k

l))Sk{Tk
-

Tk^)),
<

<

Observe that

www.avs4you.com
A) i
=

where

and t0

0,
=

tj, t2,... is

sequence of

integers with \ix

io\

|t2

*i|

|n+i

t'n|

1. In other words

i.e. the finite dimensional distributions of

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

similarly the refinement


=

S^(n/16)

of

S'A)(n/4).

Hence

we

define
also

sequence

{Sk,2{n),n

0>l>2,...}

of

independent random walks, being


random walks. Now let

independent from the previously defined

if

7*_i,j

<

<

r4i2
sign
A:

(k

1,2,...)
-

where

at"
T^.2
7-0,2

((sC> g)
=

S<"

(^))

SW(T

7i-,,))

?>,i2 (A;
i=o

0,1,2,...),

0,

It

can

be

easily

seen

that

and

NON-ACTIVATED VERSION www.avs4you.com


we

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)(n2-2m-2), 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

Tk-i,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,...)

WIENER PROCESS AND INVARIANCE PRINCIPLE

51

and

{SiiTn+i(n),n

0,1,2,...} (/

l,2,...;m

1,2,...)

is

double array of

independent random walks. It can be easily seen again

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\

simple calculation gives

Er,,w
and for any t0
> 0

4,
such that

there exists

C(t0)

Eexp(*rim)
if
C

<C

\t |<
=

Applying Lemmas
> 0

NON-ACTIVATED VERSION C(K) www.avs4you.com |S'(m+1)(A;2-2m) S'(m)(A;2-2m)| Cm2"m/2


6.1 and 6.2
we

t0.

find that for any K

>

0 there exists

such that

sup

<

a.s.

k2~'2m<K

for all but finitely many

m.

Hence

as m > oo

the sequence

(A;2m
called
a

< t <

(k

lJm)
W(t)

converges
=

uniformly in

any finite interval


u

[0, T]

to

continuous function

W(t,u)

for almost all

? ft.

This limit process is

Wiener process. It is also easy to see that this limit process has the
-

following three properties:


and

(i) W(t)

W(s)

N{Q,t- s)

for all 0

< s < t < oo

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

path function W(t,u)

is continuous in t with

probability

1.

(i) and (ii) are simple consequences (iii) was proved above.

of the central limit theorem

(Theorem 2.9).

52

CHAPTER 6

6.3

Invariance

Principle
< rt < r2 <
...

Define the sequence of r.v.'s 0


i-! r2

as

follows:

=inf{t:t>O,\W{t)\ l}, mf{t : t > r^lWit) -WirJl


=

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
=

sequence of i.i.d.r.v.'s with


=

-1}

1/2,

i.e.

{W{Tn)}

is

random walk,

(ii)

ri r2

~~

T\, Tz

r2,... is

sequence of i.i.d.r.v.'s with distribution

Applying the reflection principle (formulated

for

B.5))

NON-ACTIVATED VERSION www.avs4you.com )


for

Sn in Section 2.1, Proof

2 of

W(-)

we

obtain

'*

U~

dt.

F.1)
we

Evaluating
obtain

the moments of rt and

applying the strong


=

law of

large numbers

Er!
Because of

1,

Er.2
1

2,

lim
noo

n"Vn
of
a

a.s.

The above two observations

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).
-

Applying elementary properties

the LIL of Hartmann

Wintner

of the Wiener process

A941) (Section 4.4) and some (formulated in Section 6.1) we obtain


< OO
a.S.

hmSUp
n-oo

\W(rn)-W(n)\ -rjr (n log log n) V4( log n) V2


r-rr-T-

This result

can

be formulated
a

as

follows:

THEOREM 6.1 On
a

rich
>

enough probability
and
a

Wiener process

{W(t),t
hmsup
n-oo

0}

random

{fi, /, P} one can define walk {Sn, n 0,1,2,...} such that


space
=

\Sn-W(n)\ j-t(n log log nI/4(log nI'2

T-

< oo

a.s.

WIENER PROCESS AND INVARIANCE PRINCIPLE

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 A975-76).

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

{ft, /,P} {Sn, n

\Sn-W{n)\
Remark 1.
A theorem of Bartfai
1

O{logn)

a.s.

A966)

and Erdos

Renyi A970) implies

that the Invariance

0,1,2,...} then | Sn W(n) |> O(logn)


-

Principle gives the best possible rate. In fact if and {W(t),t > 0} are living on the same probability space
a.s. we

{Sn, n {fi, /,P}

As

trivial consequence of Invariance Principle 1

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

NON-ACTIVATED VERSION rl'*\w[t)\, www.avs4you.com


t~Xl2m(t\1 TJX 16 6

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

+-1/2rn~(t)1 TJX 16 v '

t~xl2 6

Jnf
1111

0<$<t

'

Then

nondecreasing function a(t)


r

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

continuity of W(-), i.e.

54

CHAPTER 6

we

have to

big. especially Example 2 of Section 7.2, asymptotically Blog*I/2 a.s.


very

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,

which says that the above fluctuation is

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

For later references


1:

we

give

a more

general

form of the Invariance

Principle

INVARIANCE PRINCIPLE 2 F(x) be a distribution function with

NON-ACTIVATED VERSION (Komlos 1975-76). www.avs4you.com


-

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

head-runs
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

divided into two sections.


In
one

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, head-runs 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 head-runs of longer than four. Hence, in order to find the slips coming from the coin tossing group, he simply selects the ones which contain head-runs 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

NON-ACTIVATED VERSION www.avs4you.com


of the sections each child is

given

coin which he then throws two

lim
N->oo

a.s.

lg N

where Zn is the

length of longest

head-run 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

number and introduce the notations:

t=[(l-?)\gN],

Uk

St(k+1)

Stk

(k

0,1

Clearly UQ, U1,..., Ujf

are

i.i.d.r.v's with
1

p(^
Hence

t)

2*

i>(uQ<t,ul<t,...,uN-<t)
and
a

(i-^

NON-ACTIVATED VERSION www.avs4you.com


simple
calculation

gives

~N

-I

<

OO

for any

> 0.

Now the Borel

Cantelli lemma

implies G.1).

Step

2. We prove that

limsup:^r<l Ik N
N

a.s.

G.2)

Let

be any

positive number and introduce the following notations:


u
=

[(l

fc

Sk+U-Sk

{k u}

0,l,...,N-u

\J{Vk
Jk=O

and let T be any

positive integer

for which Te
=

> 1.

Then

P(Vt
consequently

u)

2"u,
oo

<

N2~u

and

INCREMENTS

57

Hence the Borel

Cantelli lemma

implies
ZuT
< 1
a.s.

limsup-F jk^oo \gkT


Let kT <
n

G.3) '

<

(k

l)T

and observe that


+

by G.3)
<

Zn
with

<

Z{k+l}r <{!

?) \g{k

1)T

2e) \gkT
Hence

<

2e) lgn

probability

1 for all but

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

A{{an}) UUC(Zn) NON-ACTIVATED VERSION G.4) A{{an}) G.5) ULC(Zn) www.avs4you.com


an
an G

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

for all but


~

finitely
e

many

n}

1.

Note that if and

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

possible results while G.6) and

complete characterization of the lower classes was obtained by Guibas Odlyzko


-

A980)

and Samarova

A981).

Their result is:

58

CHAPTER 7

THEOREM 7.3 Let

i^n
Then

^gn

\g\g\gn

\g\ge

2.

liminf[Zn
noo

xjjn]

a.s.

It is also
at most
one

interesting

to ask what the

length

is of the

longest
be the

run

(or

at most

T,

1,2,...) (-l)'s.

Let

Zn(T)

containing largest integer

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

THEOREM 7.4 Let

Then

NON-ACTIVATED VERSION www.avs4you.com


n=l

{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)

[lgn + Tig lgn- lglglgn- lgT'. eLLC(Zn(T)).


question
of T.

lglge-

2-

e]
G.11)

A trivial reformulation of the in order to get


a run

Varga is: how many flips are needed of heads of size m? Formally speaking let Zm be the smallest

integer for which

As

trivial consequence of Theorem 7.2

we

obtain

INCREMENTS

59

THEOREM 7.5

Am

Km

am e
am e

UUC(Zm), ULC(Zm), LUC(Zm) if A{{am}) LLC(Zm) if A{{am})

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 head-runs 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
-

THEOREM 7.6 For any

and

NON-ACTIVATED VERSION ?)r uuc(vm) www.avs4you.com


mm - e

> 0

lge

A much stronger version of this theorem THEOREM 7.7 For any


e

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
-

UUC(Vt), ULC(Vt), LVC{Vk), LLC{Vk).


on

proof

of Theorem 7.7 is based

the

following

limit distri-

distribution: THEOREM 7.8

(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

[lgn-lglgn-elge^^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 < t-i + k < tj < tj + k < n such that by
1.

NON-ACTIVATED VERSION www.avs4you.com


=
...

Stt+k-St!
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

proof of the following theorem is

very

simple.
e

THEOREM 7.9

(Revesz, 1978).
<
oo

For any

> 0

there exist constants 0 < ax

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

that there is not any block of size An + 2 worked out


a

>

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),

G.13) G.14) G.15)


but

[lgn-lg3n [lgn
Remark 2.
and
In
case
-

lglge-l]eLUC(ZW), lg3n + lglge 2 e] G LLC(zW).


-

1
as

G.14) gives
strong
as

stronger result than


be

G.6)

G.14)

G.15) together is
c"
<
oo

THEOREM 7.11

c[

< 1 <

NON-ACTIVATED VERSION @,+oo) (Deheuvels, 1985). www.avs4you.com


not

Theorem 7.3.
Let
v

given,

and let 0 <

be solutions

of

the

equation

c-l-logc

-.

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

G.17) G.18) G.19) G.20)

Remark 3. This result is


It is also due to Deheuvels Theorem 7.2 also

modified version of the


that liminf

form of the theorem.

(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

limsup,,^^ ^n([lg n + lg lg n])

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).

Problem 1. We ask about the that

P{ZW

zW

i.o.

1.

Z& properties of Zn The limsup properties of

Z^ Z?\ It is clear Z^ Z& look harder.


=
-

Problem 2. Let Kn be the largest integer for which

Characterize the limit

properties
0 <

of Kn. Observe that Theorem 7.9 suggests

limsup
noo

-:

<

oo.

log log U
the

Problem 3. Let

integer for which


where

NON-ACTIVATED VERSION www.avs4you.com


Z^ Z^

be the

length of

longest tail

run, i.e.

is the

largest

r(n,k)=Q<mm_k(Sj+k-S}).
How
7.2
can we

characterize the limit properties of

\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.n-tooXn 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
=

length of the longest Yn assuming that kn

word located in the


case

same a

k'n.

In this

they proved

they law for Yn. strong

place,

i.e.

defined

7.2
This

The increments of
paragraph
is devoted to

Wiener process
processes

studying the limit properties of the

Mt,at) (i 1,2,3,4,5) increments).


=

where at is
r.v.

regular enough function (cf.


+

Notations to the the average

Note that the

speed

of the

NON-ACTIVATED VERSION www.avs4you.com (W{s a) W{s)) a-1J1{t,a)=aT1


a~1(W(s
particle
in the

a) W(s)) can be considered interval (s, s + a). Similarly the r.v.


sup

as

0<3<t-a

is the

largest

average

speed
=

of the

particle
>

in

@, t)

over

the intervals of size

a.

The processes J,(t,a)(i Note also that

2,3,4,5,?

a)

have similar meanings.

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

(Csorgo Revesz, 1979/A).


-

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
t-K

(log at/) \

(log log t)

oo

then lim
too

itJi(t,at)

a.s.

In order to

see

the

meaning of this theorem


c

we

present

few

examples.

Example

1. For any

>

we

have

lf

a.s.

1,2,3,4).

G.22)
law of

This statement is also


numbers.

Example

A970) NON-ACTIVATED VERSION large www.avs4you.com


a

consequence of the Erdos

Renyi

2.

lim

,:?_'*{l9
c

a.s.

(x

1,2,3,4).

G.23)

Example

3. For any 0 <

< 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

classes of the processes J,-(t,at)(t Unfortunately we do not have a complete


can

1,2,3,4)

in

case

describe the Levyof different at's. Unfortuto

description

of the

required Levy-classes.

We

only present

the

following results:

THEOREM 7.14

(Ortega- Wschebor, 1984).


assume

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

THEOREM 7.15 Assume that

NON-ACTIVATED VERSION Coexp( T dy) www.avs4you.com


at
=

<

St

where 0 < 6 < 1, positive constants.

g(y)
>

is

slowly varying function


a

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.

In order to illustrate the

meaning of this theorem


>

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

P-i

/p,@

Theorem 7.15 does not


we

V NON-ACTIVATED (i VERSION 4,5,6,...). (aTl/2J,-) www.avs4you.com at/t


i=*

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

Let at and f(t)


=

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.

The characterization of the lower classes is theorem giving


very
a

even

harder.

At first

we

present

nearly

exact characterization of the lower classes when at is not

big.

THEOREM 7.17

(Grill, 1989).

Assume that

INCREMENTS

67

Then for any i

1,2,3,4

we

have

LUL.

iCtj

Jt[t, (It) j

1/

< A,-

where

logTr log
-

< <

Ki
K-i ^3

< <

Iog47r, log it, log47T, log 7T.

4
7T

log4

<

<

log //
in addition either at is

<

lb

^4

<

of the form
at
=

Coexp

\ct
with
,.

or

NON-ACTIVATED VERSION www.avs4you.com


.
.

hmsup-5-L t-oo log log t


log log t/at log log t
\ogn,
<

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

e-rlologt@
=

<

<

oo).

Then

A(t)
Hence
..

(exp(rloglogO)(loglog)
.

oo.

Ji{t,at) 1 a.s. :; tttt t-oo 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

Revesz, 1979, Grill, 1989). // A{t)

>

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

absolute, positive constant, its

exact value unknown.

If A(t)

->() then

lim inf
-

^24 log log

=-/?(

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
=

I/a fi(at/t) NON-ACTIVATED VERSION special @ l). www.avs4you.comJi(t,at)


= =

a.

We

case

when

<

<

following
0 a.s.?

THEOREM 7.19

(Csaki

Revesz, 1979). // A{t)

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

(Section 5.3) implies


1
a.s.

that

6(t)J4(t,at)

However, this

relation does not follow from Theorem 7.19.

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<t-a,

{W{s

as)-W{s)),

INCREMENTS

69

J7{t,at)=

sup
0<s<t-at

\W{s
sup sup

a3)-W{s)\,
+ +

JB(t,at) J9(t,at)
where a, is
a

sup sup

0<s<t-at 0<u<a,
=

(W(s \W(s

u)u)
-

W(s)\
7.13.

0<s<t-a, 0<u<a.

function

satisfying conditions (i) and (ii) of Theorem

Remark 6. Hanson and Russo

A983/B)

studied
In

of the questions of the present of the sequence

paragraph.

strongly generalized version fact they described the limit points


a

B@k
for
a

W{pk)-W{ak) ak)(\og@k/@k ak)) +


-

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

NON-ACTIVATED VERSION Js(t,at) www.avs4you.com


-

(Csorgo

Revesz, 1979/B).

Assume that at

Theorem 7.13. Then liminf Kt


too

a.s.

where

Js{t,at)=
and

inf

Q<s<t-at o<u<at

sup

\W(s

u)-W{s)

'"I"
// (iii) of Theorem 7.13
is

also satisfied then


lim
t>OO

KtJs{t,at)

a.s.

The

following examples
9. Let at
=

illustrate what this theorem is all about.

Example
us
a

^\ogt

hence

Kt

l{t

->

oo).

Then Theorem 7.20 tells


a;

that for all t


s
=

big enough,
< t- at

0 <

s{t,?,u)

for any e such that

> 0

and for almost all

ft there exists

sup

\W(s

u) -W(s)\

< 1 +

70

CHAPTER 7

but, for all

[0,t

at\

with
sup

probability

\W{s

u)-W(s)\>l-?.
an s

At the

same

time Theorem 7.13 stated the existence of

[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

t. Then Theorem 7.20

NON-ACTIVATED VERSION (cf. E.9)). www.avs4you.com Example (log*I/2 ^(log01/4too

nH

\1/2su
J
Kt
e

0<3<t

Hence

we

have the Other LIL


11. Let at
=

hence

Then Theorem 7.20


u

claims that for all t


exists
an s
=

big enough, for


G

any

> 0

and for almost all

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

?)^=(log0-1/4.
V

Clearly, replacing
we

the condition
a

at

(log?I//2
[0,
t

in

Example
of size

11

by

at

o(logt),
sample

also find that there exists

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

THEOREM 7.21 Assume that


Then

at

satisfies conditions (i), (ii) of


sup

Theorem 7.13.

inf liminf/it t-oo C0<5<t-a where

|W(s

u)|

a.s.

o<u<a,

ir2at If (iii) of Theorem


7.13
is

also

satisfied
sup

then

?-00

lim ht

inf

0<<t-a0<u|ac

|W(s V
'

u)| "

a.s.

Example

12.

Letting
=

at

we

obtain the Other LIL


>

(cf. E.9)).

Example

13. If at

o(logt)

then ht

oo

and
0

while in

case

NON-ACTIVATED VERSION www.avs4you.com


=

inf lim sup t-ooO<J<t-a0<u<a


we

\W(s +u)|
c
as

at

4c*7r~2 \ogt
lim

have

/it

>

oo

and

inf

t-ooO<<ta<|

sup

\W(s V
'

u)\ ;l

c.

(Compare Example 9.)


Theorems 7.13
-

13 in

case c

1 and

\/2

with the first part of

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

Revesz, 1987). Let t/at


lim dt
=

dt. Assume that

oo.

G.27)

Then

for

any i

1,2,3,4 in probability

too

log log dt proof


of Theorem 7.22 is based
on

G 2g)
the

We also mention that the

following:

72

CHAPTER 7

THEOREM 7.23
oo <

(Deheuvels

Revesz, 1987). Assume

G.27).

Then for any

y <

oo

we

have

exp(e~v)

(?

oo)

t/

2,3,4 and

->

exp(-e")
we

(t

->

oo).
no

Note that in the above two theorems

have

regularity

conditions

on

at

except
assume

G.27).
meaning of G.28) consider the
=

In order to understand the

case

2 and

In this

In the

J2{t, at) NON-ACTIVATED VERSION www.avs4you.com Ji{t,at)


case

-i^log log
t

' @<r<oo).

G.29) '
K
as

Theorem 7.13 implies that

can

be

big

as

same case

Theorem 7.17

implies

that

can

be

as

small

as

BatI/2(rloglog01/2.
G.28)
describes the

"typical" behaviour of J2(t,at) under the

condition of

G.29).

Namely

it behaves like

It is worthwhile to mention

an

equivalent

but

simpler form of Theorem

7.23.

THEOREM 7.24

t-*

sup(WE + l)-WE)) <f{y,t)\ =exp{-e~v) limp][0<3<t J

and

lim P
where

sup

\W(s

l)-W (s)

\<f(y,t)\= exp(-2e~v)

INCREMENTS

73

Let

us

give

summary of the results of this section. To


=

study the properties of the


different conditions that
at is
on

processes

Ji(t,at) (i

1,2,3,4,5)
from

we

have to

assume

at.

For the sake of

simplicity

now on we

always
for i

assume

nondecreasing
in Theorem
=

and satisfies conditions

(i)

and

(ii)

of Theorem 7.13.

Then the limit distributions of different. The limit distribution of


not known in any
case.

./,(,) J5(-, )

1,2,3,4
=

are

given
case

7.23. Observe that the limit distributions in

case i

1 and in

2,3,4

are

is unknown. The exact distribution is

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 above-mentioned 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

NON-ACTIVATED VERSION www.avs4you.com


=

trivial

ones)

about the lower classes of

^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
-

Section 7.2 will remain true,

obtain that any theorem of the Wiener process by a random walk (i.e.

6.3)

we

A trivial consequence of Theorem 7.1 resp. Theorem 7.13 of Section 7.2) is

(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

Comparing G.30) and


an
=

Jx

are

different indeed if

G.31) we can see c logn@ < c < oo).


Principle

that the behaviours of 7i As a consequence we also

obtain that the rate best possible


one.

O(logn)

of Invariance

This observation is due to Bartfai

(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

/,(-, )

Assuming different growing conditions


0

on

{an}

we

get

(i) // for

some e >

on<
Then

[lgn-lglglgn + lglge-2-e]
=

An.

NON-ACTIVATED(iVERSION 1,2,3,4) Ii(n,an) 7,(n,an) www.avs4you.com (ii)


an
a.s.
=

for all but finitely


Let

many n, i.e.

is

AD.

An <an
Then

<

[lgn

lglgn-lglglgn
is

lglge-2-<:]
=

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

for all but finitely

many

n.

(iv)

In

general, if
=

dn(T)
then

[lgn + Tig lgn + (l + e) lglglgn] < an < An(T + 1) [lgn+(T+l)lglgn-lglglgn-lg((T + l)!) + lglge-2-e]
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)

an-2T-4

an-2T-2

or

an-2T.

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)

an-2TeLLC{Ii{n,an))
an
-

if
if if t/

n=l

? exp(-2npBn))
n=l

< oo,

2T e

LUC(/,(n, an))

? exp(-2npBn))
=

oo,

an-2TeULC{Ii{n,an))
an

n=l

f) 2>Bn)
n=l

oo,

-2TeUUC{It;(n,on))

f) 2>Bn)

<

oo

tu/icrc

Here

NON-ACTIVATED VERSION www.avs4you.com Consequence


we

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

7,(n,an) is QAD a4(n) G LLC(/,(n,an))

and there exist such that

ai(n)

a.i(n) G UUC(/,(n,an)) a^(n) < 3.

and

an

(ii)

Assume that

/(n)
Then

O((lgn)e)
a^n)
-

@<6<l).
an

7,(n,an) is QAD cn(n) G LLC(/,(n,an))

and there exist

such that

a\{n) G UUC(/,(n,an)) a4(n) < ^ + 1.

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(l-2/?)lgn+(l-eJplglgn ULC(/,(n,an)), C(l 2/3) lg n 2p lg lg n Ap lg lg lg n+ + l + se LUC(/,(n,an)), C(l-2/?)lgn-2plglgn-4plglglgn+ 4p lg(l 2/3) + 4p lg lg c + 2p lg 7T + Gp + 1 e LLC^n, an))
-

where

/?

is the solution of the

equation

I^)C

2,

and

Remark 2.
-

Consequence 2 above Deheuvels Devroye Lynch In the case an lg n we present


-

NON-ACTIVATED VERSION A986). www.avs4you.com


is
an

arbitrary positive number.


is

stronger version of

an

earlier result of

the

following:

(Deheuvels positive integers with an [an]


=

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 t-1 \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
-

UUC(/,(n,an)), ULC(/,(n,an)), LUC(/,(n,an)), LLC(/,(n,an))

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

Ba;1 log nI/2.

INCREMENTS

77

In order to

study

the

properties
= '

of 1$ resp. min
max

lUn,an) SK n)
first
we

0<j<n-an 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).

In fact Theorems 7.20 and 7.21 will

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
>

(n oo) for any e > 0. It oo an/ logn (n c). In fact


> >

turns out that Theorem 7.21 remains true if


we

have
Assume that an

THEOREM 7.29 conditions

(Csaki

Foldes, 1984/B).
lim
noo

satisfies

condi-

(i)

and

(ii) of

Theorem 7.13 and

an(logn)

oo.

Then

where hn is defined in Theorem 7.21. satisfied, then lim


noo

NON-ACTIVATED VERSION (iii) www.avs4you.com /in/5*(n,an)


lim inf
noo

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*
=

(Csaki Foldes, 1984/B).


of
the

Let an

[c log n](c

>

0)

and

define

a*(c)

the solution

equation

if a*(c) is

not

an

integer

then
a.s.

for,all but finitely many n, i.e. II is AD, if a*(c) is an integer then

*{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

The properties of 75 THEOREM 7.31


a
=

are

unknown when

log

<C an <

(log nK. However,


=

we

have

(Csaki- F51des, 1984/B). Letan


of the equation
K cos
-

[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

NON-ACTIVATED VERSION a(c) www.avs4you.com


Is

a(c)

i.o.

a.s.

Is

i.o.

a.s.

Chapter

Strassen type theorems

8.1

The theorem of Strassen


Logarithm of Khinchine (Section 4.4) implies
all

The Law of Iterated


e

that

>

0 and
=

for almost
<n-i
>

uj

? Q there exists
<
...

random sequence of

for any integers

0 < i%i

We ask what

NON-ACTIVATED VERSION (8.1) S{nk) A -e)Bn4loglogn*I/2 A ej^n*)). www.avs4you.com(provided nk} {Sj-,j


=
-

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

THEOREM 8.1 Assume that

nk

nk(e,u) satisfies (8.1).


>

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+A-a-2eJ)). 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})>{l-e)xS{nk)
for all but finitely
many k.

a.s.

(8.5)

(8.5) suggests that {^([znjfc^O < x < 1}


really
so

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]

+(x- I^H X[nx]+1) @

<

<

1;

1,2,...)
limit

relatively compact in C@, l) with probability

1 and the set

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

NON-ACTIVATED VERSION www.avs4you.com rik^u))


an

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)

For any such that

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

that the above theorem is

STRASSEN'S THEOREM 2

relatively
where

compact in

C@,1)

The sequence with probability 1 and the set

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

for any function Khinchine's LIL.

|/A)|

< 1

f(x)

S, Strassen's

STRASSEN TYPE THEOREMS

81

Consequence

TQ(?,u>)

For any such that if


1.

> 0

and for almost all

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

theorem 2 will be based

on

the

following
a

three lemmas.

LEMMA 8.1 Let d be


numbers

positive integer

and a\, a^-,

,a-d be

sequence

of

real

for

which

1=1

Further,

W*{n)
Then

NON-ACTIVATED VERSION ad{W{dn) W{{d l)n)). aiW{n) a2{W{2n) W{n)) www.avs4you.com


let
=

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

that of the Khinchine's LIL. The

details will be omitted.


The next lemma

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.

real valued function

C@,1)

and

positive integer d, let f(d)


that is

For any be the linear

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

NON-ACTIVATED VERSION www.avs4you.com


=
-

I aW(n)

0(WBn) -W(n)))

y/2n log log


is the interval

n1

y/2n log log n


that the set of limit

J n=1
points

[l,+l].

This

implies

{bnVn}

is

subset of the unit disc and the

boundary
-

of the sequence of the unit circle belongs to In the


a

this limit set. Now let V* above


one can
=

(W(n),WBn)

W(n),W{3n)
points

prove that the set of limit

of

W{2n)). {bnV^} is

same

way

as

subset of the unit

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.

Proof of Strassen's Theorem 2. For each u^fiwe have


sup
0< 0<z<l
w

(x)

w^(x)\
also

<

sup

sup

\wn(x

s)

wn(x)\,

hence by Theorem 7.13

(cf.

Example

3 of Section
=

7.2)
a.s.

limsup wn(x)

wlf'(x)\

d~1'2

STRASSEN TYPE THEOREMS

83

Consequently

we

have the Theorem

by

Lemmas 8.2 and 8.3 where

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

1 and the set

of its limit points is S.


we

in

application the special case at


At first
we

of Strassen's theorem
=

sketch the

proof

of Theorem 7.18

at.

mention that Strassen's theorem

implies
a.s.

that

\ims\ipbtJi(t,at)
too

a1^2

which

can

be obtained

by considering the function


,(
\
-

in Strassen's class S

The fact that bt is the right Strassen's theorem. Let

NON-ACTIVATED VERSION M*J-jai/2 Example 7.2). (cf. www.avs4you.com


I xa~1/2
if if

<x<<*,
a<x<x

also Theorem 7.13 and

3 of Section

normalizing factor for the liminf also follows from

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
=

1 it is well known that


-s

C\

1 and this

be obtained

<

<

in S.

liminf 6(t) Ji(t,


*-oo

erf)

<

-Ca

(B?" t ^ +
y
r{r
r

"

1)

l) J

(8.8) x{s)
=

Define the function If

x(s)
r

as

follows: if

I/a

(an integer),
<

then let

-s.

I/a

+ t, where

into 2r + 1

integer and parts with the points


is
an

0 <

1, then split the interval

[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 + 1-t

u2t <

< u2t+1,

ar

+ 1

U2i.

It is

easily seen that x(s) absolutely continuous for

so

defined is in Strassen's class, i.e.


5

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

omitted here. Here


we

Strassen

Consequence of Strassen's Theorems


functional from
to

NON-ACTIVATED VERSION A964). www.avs4you.com <p(wn{i)) probability C@,1)


mention
a

few further
we

At first

applications of present the following:

Strassen's theorem

given by

1 and 2. If (p is

continuous funcand

R1 then with

1 the sequences

<p(sn(t))

relatively compact and the Consequently


are

sets of limit

points coincide with <p[S).

\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

integrable function with

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

limsup-V/

f i\
-

b(n)Si

(8.9)

STRASSEN TYPE THEOREMS

85

and

by integration by part

we

get
i

Of (F(t))*dt)
o
/

1/2
.

(8.10)

The above consequence also For.any a > 1 we have

implies:

\imsup n-1 (b(n))

^l^V
\Jo [I

in

particular

limsupn" 6(n)

z-<

1^*1
n

=3

'

a.s.,

7tRemark 2. In order to prove

4tt~

a.s.

NON-ACTIVATED VERSION (8.11) www.avs4you.com V


we

have to prove

only that

VJo
This
can

A-

be done
we

by

an

elementary

but hard calculation.

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

Consider the relative frequency qn

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

THEOREM 8.2 The set

{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

NON-ACTIVATED VERSION M(n) www.avs4you.com


are

also valid.

Strassen theorems for increments

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.

For almost all


>

lj

G Q and for all


a

> 0

there exists
0 < t
=

To

T0(e,u)
T

such that for all 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 + a-r)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:

STRASSEN TYPE THEOREMS

87

(i) I\T(x) (ii)


for all

7(r,ar)(W(t

xaT)
VT

W(t)) @ Vt(uj)
:

<

<

1),
as

G Cl define the set

C@,1)
-

follows:

Vr

(I\r(z)

0 < t < T

aT},
^-neighbourhood of
-

(iii)

for any A C A in C@,1)

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

a(x) is an element of a(x) \< e. supo^^ | a(x)

present

THEOREM 8.3
exists
a

TQ

(Revesz, 1979). To(u,e) such that

For almost all

? Q and

for all

e >

0 there

U{VT{u),e)DS
and

(8.13)
(8.14)

ifT>T0 provided that


To grasp the

NON-ACTIVATED(ii), (iii) (i), VERSION www.avs4you.com


ax

U(S,e)DVT(uj)
conditions
us

satisfies

of Theorem

7.13.

meaning of this Theorem let

mention that it says that:

(a) (b)

for all T that

big enough
<
x

and for all

s(x)

S there exists a.0<t<T

aT such

TtiT(x)@

<

1)

will

approximate the given s(x),


-

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

assumed all the conditions

(i),
get

(ii), (iii)
a

of Theorem 7.13. If

only

assume

conditions

(i)

and
at
=

(ii)
T.

then

we

weaker result which contains Strassen's theorem 3 in

case

THEOREM 8.4
=

(Revesz, 1979).

Assume that aT
u

(ii) of Theorem 7.13. Then for Tq T0(e,lj) such that


if
T >
a

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

Remark 1. The there exists

important difference
we

between Theorems 8.3 and 8.4 is the fact

that in Theorem 8.3


a

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

but not all of them; all of them will be


vary.

approximated when

T is also allowed to

8.3

The rate of convergence in Strassen's

theorems
Property
any
e >

that

NON-ACTIVATED VERSION www.avs4you.com wn(x,lj) U(S,e) sn(x,uj) U(S,e)


1.

Strassen's theorems 1 and 2


all
uj

can

be reformulated

0 and

for almost

G H there exists

an

integer
G

no

follows: for no(e,u) > 0 such


as

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

It is natural to ask how

the above statement. Bolthausen

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

THEOREM 8.5 Let

^Mn)
Then

(log log n)"*. wn(x)


G

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
i-o.
a.s.

sn{x) ? U(S',^(n))

^n(^) ^ U(S,tl>s{n))

STRASSEN TYPE THEOREMS

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

for all but


If

-A c)(loglogn) \wn{x) f{x)\ NON-ACTIVATED VERSION finitely www.avs4you.com


sup
-

>

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

aI'2 log log n

rrj-r

i.o.

a.s.

and

for all but finitely


In
case

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 <

...

< a*-! < a*

1. Then

we

90

CHAPTER 8

THEOREM 8.8
1 then

(Csaki, 1980). If f[x)


0

is

defined

as

above and

f*(f'(x)Jdx
i.o.
a.s.

for
sup

any

s >

0<z<l

\wn{x)

/(x)|

<

^IZ2-SIZB~1IZ{1

e)(loglogn)/3

and
sup
0<z<l

\wn{x)

f{x)\
n

>

^lz2-hlzB-l'z{l

e)(loglogn)/3

a.s.

for

all but

finitely

many

where

Remark 1. Theorems 8.5 resp. 8.8

imply

that for any

/?

<

2/3
a.s.,

W[t)
if t is

<

(Bloglog + (loglogI^)I/2
-

(8.15)

than EFKP LIL of Section 5.2 Remark 2.


a

NON-ACTIVATED VERSION (8.16) (t Bloglog A ^(loglogO^V/^1/3^-1/3)) imply www.avs4you.com (8.15) (8.16)


W{t)
>

big enough

resp.

i.o.

a.s.

and

clearly

the Khinchine's LIL but

they

are

much weaker

(cf. Consequence f(x)


=

1 of Section
<
x

5.2).
we

Applying

Theorem 8.8 for

<

1)

obtain

(8.16)

as

special

case.

Remark 3. It looks

an

interesting question

the results of Section 8.2 and those of


convergence in Theorems 8.3 and 8.4. and Kuelbs A988).

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

of Theorem 8.8 in the

(personal communication) recently case when f(x) is a quadratic

found the function

generalization

(and

of

course

8.4
We have

A theorem of Wichura
seen

that Strassen's theorem is

LIL. Wichura

proposed

to find

similar

generalization of Khinchine's (Strassen type) generalization of the

natural

Other LIL

(cf. E.9)).

He

proved

STRASSEN TYPE THEOREMS

91

WICHURA'S THEOREM
sequence

(Wichura, 1977, Mueller, 1983).

Consider the

yp|M J
(n
=

) )
u

H||;

0< u<

1,2,...)

and the net

tit(u)
Let

| 1 logl"
^V
l

sup
*<

\W(tx)\;

0 <

< 1

}> (t
J
on

->

oo).

6c t/ic set

o/ nondecr easing, nonnegative functions

[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

have to prove that

NON-ACTIVATED VERSION g(-) Q. g(l) y| www.avs4you.com


that this theorem

implies

the Other LIL

we

only

>

for any

Chapter

Distribution of the local time

9.1
Let

Exact distributions
k} {k .)

Px(fc) =min{n:5n
Then

1,2,..

Hence

by Theorem

NON-ACTIVATED VERSION www.avs4you.com


2.4
we

obtain

THEOREM 9.1

(fc

l,2,...,n

l,2,...).

j=x[~2~y
Especially

Consequently

1)

2m +

1}

2-2~-1(m + I)

^
even

(9.1)

Note that

/?iBA:

1)

takes only odd,

/?iBA:)
93

takes only

numbers.

94

CHAPTER 9

THEOREM 9.2 Let


Then px, p2

p0

0 and pk
I5

min{j

> pk-i,

S}

0}(/c

1,2,...).

p\,pz

P2,

sequence

of x.i.d.r.v's wxth
1
I

p/_
^

Ot\
J

O-2*+1i--1 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

1}. P{pi(l) NON-ACTIVATED VERSION (9.3) (9.1) (9.2). www.avs4you.com (9.2).


l
=

2k

| Xx

+1}

PI/?!

2A:

| Xx

-1}

=2k-

by

we

have

The second statement of Theorem 9.2 is

consequence of

Remark 1. A

simple calculation gives

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

expectation of the waiting time of the


a

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)

is the local time of the random walk

{Sk}.

DISTRIBUTION OF THE LOCAL TIME

95

THEOREM 9.3 For any k

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

P{Pl{k) >n}= P{Mn+

have

NON-ACTIVATED VERSION www.avs4you.com


P{f@,2n) =k}
=

P{pk

<

2n,pk+1

>

2n)

which

implies the Theorem. Applying Theorems 9.1 and

9.3

we can

get the distribution of f (a:,

n).

In fact

we

have
x >

THEOREM 9.4 Let

0.

Then for any k


k

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

crossings (sign changes).

obtain

THEOREM 9.5

P{0Bn

!)=*}

? P{0Bn
j=k

l)

| ?@,2n)
=

j}P{?@,2n)

j}

)() 22n~> ) \k) 2>\ j?k


n
=

22n

\n +

2P{52n+1

=2k +

1}.
=

Proof. Observe that


THEOREM 9.6

NON-ACTIVATED VERSION (n=l,2,...). n} Bn) P{ www.avs4you.com


max

P{5jfe_i5jfe+1

< 0

| 5*

0}

1/2.

Si

>

Proof. It is

trivial consequence of Lemma 3.1.


=

THEOREM 9.7 For any k

1, 2,... and 1

0,1,2,...

we

have

(9.4)

)'
=

(9-5)
(9.6)
Then

l,

E(?(A:,p1)-lJ=4A:-2.
we

Proof. Without loss of

generality
=

may
=

assume

that k

> 0.

{?(*,*)
Hence

o}

{Xi
3.1

-1}

{Xi

i,s2 # k,s3 # k,...,spi_i # k}.

by Lemma

1 A:

2A;-1

DISTRIBUTION OF THE LOCAL TIME

97

and

(9.4)

is

For any

proved. 1, 2,... define


=

0, po[x) Pl{x) =inf{l:l>0,Sl


=

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

Hence, again by Lemma

3.1

P{(*,*)

-I

-2l
~

[E {
\
2k

) B) (j
and

2k

and

(9.5) is also proved. (9.6) is a simple consequence

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
=

NON-ACTIVATED VERSION (9.4) (9.5). A 1,2,...) www.avs4you.com


of

\2k)

its distribution is described THEOREM 9.8

by

B*)(^lfJB
Proof.

(*

0,l,.-.,).

(9-7)

(Renyi, 1970/A). Clearly

{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

Suppose that (9.7) is

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}

for 1 < k < N


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
<

positive term, while

in

case

Sn

< 0 for

positive 21, S2l

ones

2k, then among the preceded by a and $2N 2k, the number
=

or

zeros
=

of such terms is 2k. Hence

W
+
1

2/}P{f2*_2,
=

2k-

21}

\fl p(^i
1=1

2OPU2*-*

2A;}

and

we

It is worthwhile to mention that the distribution of the location of the last


zero

NON-ACTIVATED VERSION (9.7) www.avs4you.com


obtain

by

an

elementary calculation.

up to

2n, i.e. the distribution of

*Bn)

max{Jk

0 < k < n,
we

S2k

0}

agrees with the distribution of $2n. In fact

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}.

Hence the Theorem.

The distribution of the location of the maximum also agrees with those of fn and \&(n). In fact we have

THEOREM 9.10 Let

fi+{n)

inf{k:0<k<n

for

which

S{k)

M+(n)}.

DISTRIBUTION OF THE LOCAL TIME

99

Then

(B[k/2]\Bn-2[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

paths for which

{Si
Hence

>

0,52 >0,

P{M+Bn)

NON-ACTIVATED VERSIONSk} www.avs4you.com 0}. 0}'P{S1


}
= =

P{S0 <Sk,l?! < Sk,.. h<sk,.. P{50


-

Sk, Sk+1

<

Sk,..., S2n

<

?!

>

0, S2

>

0,..., Sk

>

>

0,..., 52n_jfe

>

Then

we

obtain Theorem 9.10

by

Theorem 2.4.

9.2

Limit distributions
exact distributions and the

Applying the above given


THEOREM 9.11
^
*-

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

{n-l<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)

is called arcsine law.

It is worthwhile to mention that

(9.12)

we

obtain

n00

limp(o,45< ^
(^
<

<

0,55} )

0,063769...

and
lim P

0,

The exact distribution of ftn is


n

a long time on the left-hand 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) NON-ACTIVATED VERSION probable particle spends www.avs4you.com right-hand
and the most
of ftn als values

l}

lim P

(^ 0,9}
>

0,204833...
value
a

that the most

are

0 and 2n. In other words with

big

side.

9.3

Definition and distribution of the local time of


a

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.

want to characterize the amount of time


x

till T which the Wiener

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)

DISTRIBUTION OF THE LOCAL TIME

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)

is called the local time of W.

(It

characterizes the amount of time that

the Wiener process W

spends

till t is "near" to the


r.v.

point x.) Our

first aim is to

evaluate the distribution of the In fact we prove


THEOREM 9.12 For any
x

77@, t).
and t
> 0
9 7T

> 0

rz
1

Jo
=

(9.13)
t{
(N) '

Proof. For any N as follows:

1,2,... define the

sequence 0 < T\

< r2

r2v

(N) ;

<

...

NON-ACTIVATED VERSION W{Tl)\ N-1}, www.avs4you.com \W{t) W{n)\ N'1}, inf{*


Tx
= =

r2

M{t:t>0,\W[t)\ inf{* :t>ru \W(t)


:

N-1},

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, <

Note that Ti,t2

Ti,... is

sequence of i.i.d.r.v.'s with

Et"!

N~2 and

ErJ

<

00

(9.14)
=
= =

6.3). (rj,rl+i) will be called type (a,6) (a jiV,^ a\ N-1,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

Then by the law of large numbers and

(9.14)
-1
a.s.

7Ti)
(In
4.2;
fact

(JV-oo).

(9.15)

(9.15)

can

be obtained

using the "Method of high moments" of Section


seems

to obtain it

by "Gap method"

to be

hard.)

Studying

the local time of

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
=

that for almost all if t e

fl there exists

U.esK^.+i)-)
-

Hence

^ ?(rI+1 VERSION(9.18) NON-ACTIVATEDr.-)


1,@,1)
=

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)

and from the

{r,[x,tT),x
Theorem 9.12

R\0 <t<l}

{Tll2r)[xT-ll2,t),x eR\0<t< l}.


for any
x

(9.20)

clearly implies that

R1

we

have

Levy A948) also proved


THEOREM 9.13 For any xe

R1,

T > 0 and

> 0 we

have

DISTRIBUTION OF THE LOCAL TIME

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

NON-ACTIVATED VERSION www.avs4you.com 2j,2\


i

<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

Local time and Invariance

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

approximated by the local time ri(x, n) of a Wiener


oo.

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

NON-ACTIVATED0}VERSION {W(t),t (Revesz, 1981). {fl, J,P}. P(X, 1) P(X, www.avs4you.com 1)


Let
>

In fact

we

have

be

same

Wiener process deprobability space Q one


a
= =

lim
n>oo

rT1/4~esup|f(:r,n)
x

r)(x,n)\

=0

a.s.

A0.1)
of
W

for

where the sup and ? is the local time of Sn


any
e

> 0

is
=

taken

over

all

Xi

X2

H
we

integers, h Xn.
prove

r\ is the local time

For the sake of

simplicity, instead
lim
n>oo

of

A0.1)
-

only
a.s.

n-<~e|f@,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).

Define the r.v.'s


...

r0

0 < n < t2 <

...

just like in Section

{Sk}

Further let 1 < fix < \i2 < {W(rk)} visits 0, i.e. let
=

be the

time-points

where the random walk

Mi M2

min{Jk : min{A;:

k k

> >

0, W{rk)

Sk

fiuW[Tk)
105

0}, Sk 0},
= =

106

CHAPTER 10

Mn

min{A;

>

Hn-i,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).

NON-ACTIVATED VERSION A0.2) www.avs4you.com (ife-oo) f(O,Jt) =o(k*+e)


k +
o

(it'+e)

a.s.

easily

follows from

a.s.

A0.3)

and
sup

{p @,j + k^') v{O,J))


-

(k*+)

a.s.

{k

->

oo).

A0.4)

A0.3)
more

and

A0.4)

can

general

results

easily proved. Their proofs will be given in Chapter 11.


be

are

omitted here because

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

is unknown. Assume that

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?

LOCAL TIME AND INVARIANCE PRINCIPLE

107

Remark 2. It

can

be also

proved

the Wiener process

W(t)

can

that in Theorem 10.1 the random walk Sn and be constructed so that besides A0.1)
a.s.

\Sn-W{n)\ =O(logn)

Remark 3. A trivial consequence of Theorem 10.1 is

Km'P{n-1t2?{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

Theorem 10.1 tells

(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

studying the automatically claim


are

present section tell


as

those of Let

m+(n)

will be inherited

NON-ACTIVATED 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.

Hence the theorems

proved

for

resp.

by

and

Y[n) =M+{n)-S{n) (n
Then
a

0,1,2,...). (see
for

A981),

celebrated result of P. Levy reads Theorem 5.3.7):

as

follows

example, Knight

THEOREM 10.2 We have

{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

importance of this theorem,


4.4,
see

we

mention that for

applying
a

the LIL of Khinchine

(Section

also Theorem

6.2)

m+(t)

as

trivial

consequence of Theorem 10.2

we

obtain

Consequence

1.

limsup
t-oo

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

msupplfiv lfi y/2n log log


noo

=1
fl

a.s.

A0.8)
is due to

Remark 1.

Chung and
of
a

A0.7) was proved (directly) by Hunt A949).


In fact
we

Kesten

A965). A0.8)

A natural

question arises: what is the analogue of Theorem


ask:

10.2 in the
true

case re-

random walk?

does Theorem 10.2 remain

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

Theorems 2.4 and

9.3).

spite

of this

disappointing
we

prove that Theorem 10.2 is "nearly true"

for random walks. In fact

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

NON-ACTIVATED VERSION www.avs4you.com


-

(Csaki P(Xi 1)
=

Revesz, 1983).
=

Let

> 0

n-'\Y{n) -\S[n)\ |
and

-*

a.s.

n-1/4"e|M+(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).
-

bit stronger than that of Csaki

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

the LIL of Khinbe


we

Theorem 10.3 tells

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

what the best

rate here is.

However,

show that

by considering

LOCAL TIME AND INVARIANCE PRINCIPLE

109

the number of
can

crossings >(n) instead of the

number of roots

f @, n), better

rates

be achieved than that of Theorem 10.3. Let

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).

sequence of i.i.d.r.v.'s with

P(Xi
Then

1)

P(Xi
define

probability
on
= =

space

{fl, J,P}.

one

can

XUX2,... -l) 1/2 defined sequence Xi,X2,...


=

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)

l,2,...), NON-ACTIVATED VERSION Y{n) =M+{n)-S{n). www.avs4you.com


=

max

5@)

0,

S(n)

J^ Xk (n

Proof. Let
=

tx t2

min{i min{i min{t

: i : i

> >

S{i r,, S{i


0,

lM(i + 1) < 0}, l)S{i + 1) < 0}, l)S{i


+

: i >

n,S{i

1)

<

0},

and

if

xxxj+l

if

if

TJ + 1 < J <

This transformation
is

was

given by Csaki and Vincze A961). The following lemma

clearly

true.

HO

CHAPTER 10

LEMMA 10.1

(i) X\, X2,...

is

sequence

of

i.i.d.r.v. 's with

00
S{k)-

(Hi) 26(r,) (iv) (v)

=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

NON-ACTIVATED VERSION www.avs4you.com ?{k)=M+{k)-~S{k) \S{k l)\ \S{k)\


J
1)|
if if
r, +

<

<

+ l

Y{k)

M+{k)

5(ik)

>

\S{k

1)|

1 >

\S{k)\

2.

This proves Theorem 10.4. Proof of Theorem 10.3.

Clearly

we

have

n-i/4-'|f@,n)
Hence
as
we

20(n)|

-*

a.s.

A0.11)

obtain Theorem 10.3

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

{W(t);t -1) 1/2


=

enough probability space 0} and a sequence Xu X2,...

such that
a.s.,
a.s.

\S{n)-W{n)\ =O(logn) |2e(n)-7(O,n)| =O(logn)

A0.13)

LOCAL TIME AND INVARIANCE PRINCIPLE

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

of Theorem 10.1 when

Remark 5.
Csaki
-

Having

Theorem 10.3, Theorem 10.2

can

be easily deduced

(cf.
a

Revesz 1983, Simons


Is it

1983).
define
two

Question. probability

possible

to

random walks

{S^}

and

{S^}

on

space such that

rra|fW@,n)-2eB)(n)|
for
some

-*

a.s.

0 <

<

1/4 (cf. A0.14))


crossings of

where

fA)@,n)
If
a

is the local time of

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

NON-ACTIVATED VERSION www.avs4you.com


we

formulate another trivial consequence of Theorem 10.2.


4. Let

7{T)=
V
'

(W[u)-W[v)) 0<u<v<TX
max

be the maximal fall of

W(-)

in

[0,T|.

Then

'2

ir

\
P

log logn/

LLC(J(T)),
=

{T-X'2J{T) <x}= G{x)


defined in Theorem 2.13.
=

H{x)

where

G(-)

and

#()

are

Proof. Observe that

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

the above theorem is based

on

the

following:

THEOREM 10.6

(Mogul'skii, 1979).

"->o

limuMogP

(^o<t<r \W{t)-tW{T)\ uTl'2\ J


sup
<

~.

Proof of Theorem 10.5. Observe that the conditional distribution of

is

equal

W[T) CF(r)) {W{t), 0<t<T} NON-ACTIVATED VERSION www.avs4you.com


given
=

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

(-ir^rloglogT) exp("Ci2 loglogT)


=

where
way

BT(t) (cf. e.g.

W(t)

tW[T) @

< t <

T)

and the

proof follows by

the usual

the

proof of the LIL of Khinchine, Section 4.4).

Chapter

11

Strong
11.1

theorems of the local time

Strong

theorems for
(cf.
lim
Section

?(z,n)

and
that for any
x
=

The Recurrence Theorem

3.1) clearly implies


=

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

NON-ACTIVATED VERSION 5.2) (cf. www.avs4you.com


noo
v '

i(x,n)

00

a.s.

(HI)

that of M+. Hence

by

the EFKP LIL


we

Section

and

by the

(cf.

Section

5.3)

obtain

THEOREM 11.1 The nondecreasing function

if

and

only if

The

nonincreasing function

if and only if
n=l
U

where

is

an

arbitrary fixed integer.


10.2

Having Theorem

(instead

of Theorem
we

10.3)

and Theorem 6.2

or

applying

Theorem 11.1 and Theorem 10.1

obtain
113

114

CHAPTER 11

THEOREM 11.2

Theorem 11.1 remains true

if

we

replace ?(,) by v(-,-)and Hunt

Remark 1.
The

Theorem 11.1
to

was

proved originally by Chung

A949).

Theorem 11.2 is due

Kesten

A965).

study

of

?(n)
also

is much harder than that of

?(x,n). However, having

Theorem 9.14

(cf.

A0.6))

one can

prove
-

THEOREM 11.3

(Kesten, 1965,

Csaki
=

Foldes, 1986).
=

Iimsup6(n)f(n)

lim sup 6(?) 77B)


too

a.s.

(H-2)

liminfn-1/2(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:

THEOREM 11.4 Let


oo

NON-ACTIVATED VERSION A986) A1.3). www.avs4you.com u(t)


exact

A1.2)

is due to Kesten value of 7.

A965). A1.3)

The result of Csaki and Foldes

is much stronger than

u(t)

Q,u{t)tll2
e LLC

is

nonincreasing function nondecreasing and lim^oo u{i)tll2


a

> 0 be

such that
00.

Then

u{i)
if and only if

(t-lf2Ti(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

Theorem 9.14. also described

were

by Csaki

A989).

He proved

THEOREM 11.5 Let

a(t)

> 0

(t

>

1)

be

nondecreasing function. Then


? UUC

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,

STRONG THEOREMS OF THE LOCAL TIME

115

Since
we

?(Q,pn)

n, i.e.

pn is the inverse function of

?@, n), by

Theorem 11.1

can

also obtain the Levy classes of pn.

Here

we

present only the simplest

consequence.

THEOREM 11.6 For any

e >

we

have

n2(lognJ+eUUC(pn), n2(lognJ-eULC(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 <

NON-ACTIVATED VERSION CO www.avs4you.com (ii) t/at


(Csaki
t

Csorgo Foldes for which

Revesz, 1983). Let at{t

>

0)

be

t,

is nondecr easing.

Then
sup
t-oo

(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<*<t-a,

at)

r)(x,s))

a.s.

for

any

fixed

R1 where

6t

a;1/2(log(t/at) + 2 log log t)~ll2.


we

By Theorem

10.2

as a

trivial consequence of the above Theorem

obtain

THEOREM 11.8 Theorem 11.7 remains true replacing

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
t-oo

sup

sup

xCR1 0<s<t-at

(rf(x,s

at)

ri(x,s))

a.s.

If

we

also

assume

that

(iii) of
0<<

Theorem 11.7 holds then

'

lim^sup

sup

[rf(x, s

at)

rj(x,s))

a.s.

first

NON-ACTIVATED VERSION r)(Q,s a) r(t) sup{a www.avs4you.com r)(Q, s) 0}


we
=

To find the

analogue of Theorem 7.20 seems to be much more delicate. ask about the length of the longest zero-free interval. Let
:

At

for which 30 <

< t

such that

be the

length

of the

longest zero-free interval. Then


-

we

have
a

THEOREM 11.10 function for which oo. Then

(Chung Erdos, 1952). Let f(x) be l\mx-.O0f(x) oo,x/f(x) is nondecreasing


=

nondecreasing func-

and limzoo

x/f(x)

'

t1" m) uuc(r(())
-

if and only if

Remark 2.

Originally

this theorem

was

formulated for random walk instead of

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(())

STRONG THEOREMS OF THE LOCAL TIME

117

and

111 (ii?) ULC<r"-

or

equivalently
lim inf
t+oo

inf
O^s^t

&t

G7@,5

at)

77@,5))

lim inf G7@,


t*oo

t)

77@, t- at))

> 0

and

lim inf

inf

G7@,5

at)

77@,5))

lim inf G7@,*)

77@, t- at))

This example shows that the study of the lim inf properties of info<s<t-a, (^ @,5 + at) 7?@,5)) (i.e. the analogue of Theorem 7.20) is interesting only if at >

t(l

(log*)).

proved

THEOREM 11.11 Let

NON-ACTIVATED VERSIONThey A986). www.avs4you.com


This

question

was

studied

by Csaki and Foldes

fi(t)

t^-at)'1

be

nondecreasing function for which


= =
=

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

result with the Theorem of Hirsch of Section

5.3.)
11.9

Finally

we

mention the

following analogue of Theorem

(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

liminft?tQ(*) NON-ACTIVATED VERSION www.avs4you.com Q{t)


=

a.s.

too

inf

and
_

*[
If
we

/log(t/q.)

loglogt'\'/'

also

assume

that

(iii) of

Theorem 11.7 holds then lim

too too

&tQ{t)

a.s.

Remark 4. In

case

at

we

obtain

A1.3)

as a

special
in

case

of Theorem 11.12.

Remark 5. The study of the increments of


a

r}(x,t)

x or

in both variables looks

challenging question.

11.3

Increments of
we

In Section 10.1

have

seen

remain valid for

f(z, n)

that the strong theorems valid for r}(x, t) resp. rj(t) resp. f(n) due to the Invariance Principle (Theorem

STRONG THEOREMS OF THE LOCAL TIME

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

THEOREM 11.13 Let 0

< an <

creasing

sequence. Assume that

n(n 1,2,...) be an/n is nonincreasing


=

an

integer

valued nonde-

and

lim
noo

oo.

log

Then

If

we

also have

NON-ACTIVATED VERSION log(n/an) www.avs4you.com


Iimsup5n
noo

sup

0<k<n-an

{?{x, k

an)

?{x, k))

a.s.

lim --r1-

oo

noo

log log n

then
n^

lim 6n

sup
0<k<n-an

{?{x,k

an)

?(x,k))

a.s.

for

any

fixed

Z1 where

6n

a'1'2

(log(nO + 21oglogn)/2.
Then
+

THEOREM 11.14 Let

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

Remark 1. The above theorem suggests the

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

with the rate

O(logn)

THEOREM 11.15 Theorem 11.13 remains true replacing


The

?{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

Strassen type theorems

and

Un(x)=bn[t[0,k)+n(x-)(Z@,k
(k
a
=

xt) @<x<l,t>0) NON-ACTIVATED VERSION www.avs4you.com l)-Z@,k)))


+

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

S be the set of nondecreasing elements of S

(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.

Proof. This result is

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

Define the process


=

p(xn) @

<

<

l;n

consequence of Theorem 11.16:

STRONG THEOREMS OF THE LOCAL TIME

L21

THEOREM 11.17 The set of limit

points of
0 <
x

the

functions

{2rT2(log log n)p{xn);


consists of those and

<

l}

(n

->

oo)
6

only

those

functions f(x) for which

f~1(x)

Sm

It is also

interesting

to characterize the sets of limit


we

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

but not too

big

x.

In fact the Other LIL

(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

THEOREM OF DONSKER AND VARADHAN

NON-ACTIVATED VERSION 77(-, ) www.avs4you.com topology A977).


consider the
are case

when

is smaller than the above


a.s.

strictly positive

Now

we

formulate

In the

of C(oo,+oo) the

set

of limit points of the functions


\

(/
x(
resp.

1/2

\loglogty

t\
/

(t_*oo)

-:

\ log log nj
consists

,n

(n

-*

oo)

of those

and

only those subprobability density functions f(x) for which

-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 close to y. This Section

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).

NON-ACTIVATED VERSION /128N1/4 (ifJ www.avs4you.com


=

Remark 1. Since for any

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<\.

STRONG THEOREMS OF THE LOCAL TIME

123

THEOREM 11.21

(Csaki

Foldes, 1987).

Put

log n (log log n)"'


Then

M+(n) log n(log log n)"'

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.

In order to prove Theorem 11.18

NON-ACTIVATED VERSION www.avs4you.com


we

present

few lemmas.

LEMMA 11.1 Let


i
=

ai{k)

?{k, Pi)

?{k, pi-d

(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)
-

r B7T)-1/2 Joo e~u2/2du,


+

-oo<x<oo,

lim P
n^

In-1'2 sup(a1(A:)
I
J<n
=

a2{k)

+ + ay (A:)) <

x{4k

2I/21 J
A1.8)

{*)V* [*c-V*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).

LEMMA 11.2 Let

{//}
Then

be any sequence

of positive integer valued r.v.'s with

limn_oo

//

oo a.s.

rwoo

+,.(*) !(*)+,(*) + (fin log log fiI'2


..

1/2

LEMMA 11.3 Let

{vn}

be

sequence

of positive integer valued

r.v.'s with the

following properties:

(i) lim^oo vn
(ii)
Then
k
=

oo

a.s.

there exists

set

flo

C fl

such that
=

1,2,... there exists

an n

0 and for P(ft0) n(w, k) for which vn{u>,k)

eac^
=

^ fl0

and

k.

Utilizing
...

NON-ACTIVATED 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
n-oo

lW t (^
-

Lemma 11.3 with un


<

and the trivial inequality


+ +... +

<

1,

we

obtain Theorem 11.18.


As far
as

the

proof

of Theorem 11.19 is concerned

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

proved along similar lines. based on the following result of Dobrushin

A955).
THEOREM 11.22

Remark 3. One

can

also prove that

(cf.

Theorem 12.1 and

A2.17))

STRONG THEOREMS OF THE LOCAL TIME

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\

Hence Theorem 11.22

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

question in Chapter 12. Also, by Theorem 9.12

NON-ACTIVATED VERSION www.avs4you.com A1.12) /4(e(O,n)I/2 4 W1'2 (n oo).


-*.

an

exact

proof

of

A1.11)

is not

simple

at all.

study this

Intuitively

it is

again clear (for

an

exact formulation

see

Chapter 12)

that

are

asymptotically independent.
The

A1.13)

Hence

A1.11), A1.12)
on

and

A1.13) together imply A1.10).


can

Dobrushin is not based

this idea.

proof of DobFollowing his method, however, a slightly


be obtained.

stronger version of his Theorem 11.22


THEOREM 11.23 Let
xn
=

{xn}

be any sequence

of positive numbers such that

o(logn).

Then

'

7C

Joo

JO

and

126

CHAPTER 11

The

following lemma describes some properties proof requires only standard analytic methods,

of the

density function g(y).

Its

the details will be omitted.

LEMMA 11.4

(i)

There exists

positive

constant C such that

for

any y ?

R1

A1.14)

(it)

For any

> 0

there exists

C[e)

> 0 such that

(iii)

Let
e

{an}

be

sequence
a

> 0

there exist

C\

of positive numbers with an j Ci(e) > 0 and a C2 C2{e) >


=

oo.

Then

for

any

0 such that

By Theorem

NON-ACTIVATED VERSION www.avs4you.com (iii)


11.23 and

of Lemma 11.4

we

have

LEMMA 11.5 For any


0 such that

> 0

there exist

aCx

Ci{e)

> 0

and

C2

C2(e)

>

'

|n-^(e(l,0)

?(<),))

>

2e)

[^) (loglognK/4|
A28\ *f*

<

C,(logn)-<1+'>

and

^))>(l-2e)( )
Now
we

(loglogn

prove

LEMMA 11.6

i)

/128N1/4

STRONG THEOREMS OF THE LOCAL TIME

127

Proof. Let
nk
=

(exp(fclogfc)],

f(n) (m, n))


A*

?(l,n)-?@,n), ?{x, n) ?{x, m)


-

[m

<

n),

fa
By Lemma
Let
11.5

U{nk)>{l-2e)dk}, {l-2e)dk.
>

P{At}
y
<

C{k\ogk)-^-'\
V* V* P/
<-(n A
I

A1.15)

fc and consider
oo

At.

t\

E EPM* UK) NON-ACTIVATED M snj VERSION www.avs4you.com *} .P{?(n,-)


= =

'.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
=

%2-WnJ1'*

2*J/'

(^)

(log log

and

128

CHAPTER 11

(log log**K'"
simple such that if j0
a

y
e

(=*
> 0

Now

but tedious calculation shows that for any


<

there exists

jo

<

k, then

?{AjAk}
Here
we

<

(l

e)F{Aj}F{Ak}.
of this
=
-

A1.16)

omit the details of the

proof
<

idea behind it. Since

(nj/n*I/4

Ar1/4^"
to

fact, and sketch only the main 1,2,...,A; l), the lower limit of

integration B(y) above is nearly equal

(^)
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.
-

A;1/4 the value of g(y) is


Now

A1.15), A1.16)

and the Borel

Cantelli lemma combined

give Lemma

11.6.

We have also

LEMMA 11.7 Let

and

NON-ACTIVATED VERSION [exp(A;/log2A;)] www.avs4you.com


mk
=

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

Proof. This lemma is

immediate consequence of Theorem 11.13.

LEMMA 11.8 Let

M*+i
and

(B

eO7i*+i loglogm*+iI/2

Dk

I
V2

sup

sup

{l<Mk+i-ak+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

STRONG THEOREMS OF THE LOCAL TIME

129

Proof. Cf. Theorem 7.13.


A

simple

consequence of Lemmas

11.7,

11.8 and Theorem 11.23 is

LEMMA 11.9 Let

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.

by Lemma 11.5 only finitely Now observing that

NON-ACTIVATED VERSION M1/2 o{ck), www.avs4you.com log^1+loglogMJfc+1)|


many of the events

Fk
1

occur

with

probability

I}

Mk+l
ak+i

J\

we

have

A1.17) by

Lemma 11.9 and Lemma 11.10 is

proved.
11.19.

Also Lemmas 11.6 and 11.10 combined

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

next theorem claims that

/ occasionally will

THEOREM 11.24

(Erdos

Revesz, 1984). For

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

except for finitely


to

many

It looks also

interesting
6

investigate

the small favourite

min{|x|

/}.

Bass and Griffin

A985) proved

Let gn = that gn cannot be very

points.

small. In fact

THEOREM 11.26

joo
)--*
Here
1.
we

\0

if if
-

1>U, -y<2.

NON-ACTIVATED 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

3. Consider the random sequence

{un}
we

for which

|/i,n|

> 2.

What

can we

say
oo

about the sequence with probability 1?


4. How
can

{^n}?

Can

say, for

example,

that

limnoo vn/n

properties of true that limsup,^^ |/n+i convergence?


the

the sequence |/n+i fn\ be characterized? Is it If yes, what is the rate of converoo? fn\

5. Does the sequence 6. Let

/n/\/n

have

limit distribution? If yes, what is it?


=

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

cannot prove it.

Hence

we

ask: how

can one

describe the

limit behaviour of

a(n)?

STRONG THEOREMS OF THE LOCAL TIME

131

7. We also ask how

long

*(n)

<

]{n)

< n

be

point can stay as a favourite value, two integers for which

i.e. let 1

<

and

behaviour
8. Further if

/?(n) is of /?(n).
x was a

as

big

as

possible.

The question is to describe the limit

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

NON-ACTIVATED VERSION /n,y /n+i}. p(?., ?.+i) min{|x-y|; www.avs4you.com


=

n(w)

be

jumps of the favourite values looks also interesting. Let 0- Then the jump-size positive integer for which 7n?n+i

is defined

as

jn

The theorem of Bass and Griffin

(Theorem 11.26) implies

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

learned that the

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

0 < ti\ <

ni(w)

< n-i...

where

J 1

if

S' > 0

Then

we

conjecture that /nt

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

be the number of points visited exactly r-times up to

n.

Then

P{/1(n)=0i.o.}
We do not know if for

l.

infinitely

many

almost all
at

least r-times

(r

2,3,...)

which they

assume

paths assume all, i.e. let

every value at

and

we

ask

P{(/r(n)=0i.o.}
We would guess that this A study of
n-K

? but

looks also
As

NON-ACTIVATED VERSION limsup/r(n) (r l,2,...) liminf/r(n) www.avs4you.com


and
=

probability

is 0 if

> 2

perhaps

it is 1 if

2.

n-K

interesting. already stated liminfnoo /i(n) limsup


noo

0.

Major A988) proved


C

THEOREM 11.27
l
=

a.s.

log
is

where 0 Another

< C < oo

but its exact value is unknown.

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

/*(n) + l /i(n)-l K{n)


Theorem 9.3

if if if
=

?@,n+l)=0, l, ?@,n+l) e@,n+l)>l.


= =

implies

that

P{^@,n

l)

0}

P{?@,n

1)

1}.

Hence

we

have the Theorem.

Chapter
An

12

embedding

theorem

12.1
Let

On the Wiener sheet


=

{Xij, i

1,2,...,y

1,2,...}

be

double array of i.i.d.r.v.'s with

and define

NON-ACTIVATED VERSION 0,1,2,...}, S0>n Sm<0 (n www.avs4you.com


=
=

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

of both types. Just like in the one-dimensional

case we

have

lim
n-~

p(^^ <*} {y/nrn {/ J


=

$(*).

However,

Iimsup6(nmMnm
mt-oo

21/2

a.s.

This latter result is due to Zimmermann On the


same

A972) (see
was

also

Csorgo

Revesz, 1981).
a

way
n

as
=

the Wiener process

defined

(Section 6.2)

continuous

analogue
continuous

of

{Snm,

0,1,2,...;

random field will be called and will be denoted by

0,1,2,...} can be defined. This continWiener sheet (two-parameter Wiener process)


m
=

{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,

(Hi) EW(xuy1)W(x2, y2) (iv) VT(x,y)


(v)

min(xi,x2) min(yi,y2),

is continuous a.s.,

for any x0 > 0, the one-dimensional process Wiener process,


for any y0 > 0, the one-dimensional process Wiener process.
some
-

1/2

{xQ {y0

W{x0, y),

y >

0} 0}

is

(vi)

W(x,y0),

>

is

For
to

Csorgo

further study and Revesz A981).

detailed definition of the Wiener sheet

we

refer

12.2
We have

The theorem
seen

already ?(x,n) r}(x,t) NON-ACTIVATED VERSION relatively only www.avs4you.com


that the

study of the
we

processes
n

resp.

is

easy when

is fixed and

let

resp. t vary. The main

reason

of this fact is the

following trivial: integer

LEMMA 12.1 For any

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

In order to formulate the

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;.

Consider the process

?(x,u)
Then
we

^(x.pi)

7/@,P;)

^(x,P;)

u.

A2.2)

have

(i)
E?(x,u)=0,

E?2[x,u)

=4xu,

(ii) {?(x, u);u


in
u

>

0}
6

is

strictly stationary

process of

independent increments

for any

J?1.

One

can

also prove that


has
a

(iii) ?(x, u)
origin.

NON-ACTIVATED VERSION generating www.avs4you.com


finite moment
function in
a

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

to prove that for any fixed


a

?(x,u) when u is u {?(x,u),x > 0}

fixed and has

varying? It is easy orthogonal increments and it


x

is

This observation suggests the question: Can the process ?(x, u) be approximated by a two-parameter 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

Wiener sheet have

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)

standard Wiener process


6

{W(t),t

process

{rj(x, t),x A2.1),

Rl,t

>

0}

its two-parameter local time proand the inverse process p*u of 77@,*) defined by
>

0},

(ii)

two-time parameter Wiener process


sup
0<x<Aus

{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

certainly r}(x,p*u). Unfortunately it


continue Theorem 12.1
as

useful tool for

studying

the

does not say too much about follows:

THEOREM 12.2 On the


a

process

NON-ACTIVATED VERSION p*u {p>>0}?{p;,u>0}, www.avs4you.com (u-00), \PI P*u\ (u15/8)


probability
space

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

Define the local time

0} we can proceed process rj{O,t) by

as

follows:

By the continuity properties of 77@,*) (cf. Theorem 11.7)


=

we

have

a.s.

by Theorem 12.2 we conclude that the has the following properties:

Thus

local time process

{77@,*);*

>

0}

{rj{O,t);t

>

0}Mv{0,t);t
is small
a.s.

>

0},
-*

A2.7) A2.8)
A2.9)

1*7@,*) {17@,t);t >0}


and

v[O,t)\

(t

bo),

{W(x,u);x

>0,u

>

0}

are

independent.

AN EMBEDDING THEOREM

137

A2.7) A2.8)

resp.

follows immediately from it is enough to show that

A2.9)

A2.4)

resp.

A2.6).

In order to

see

is

small, which

in turn follows from the fact that

is small. Now

A2.3), A2.8),

and the continuity of

W(-, ) imply
is small
a.s.

\rj{x,t) -77@,*) -2W(x,f)@,t))\


where
A

77@,*)

satisfies

A2.8)

and

A2.9).
Foldes
-

precise version of the above sketched idea implies

THEOREM 12.3

(Csaki

Csorgo

Revesz, 1989).

There exists

probability

space with

(i) (ii) (iii)

standard Wiener process


E

process
a

two-time parameter Wiener process


process

NON-ACTIVATED VERSION {r)(x,t);x 0}, {W(x,u);x www.avs4you.com


{W(t);t > R},t 0},
>

0}

and its two-parameter local time

>

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

In order to show how the above theorem

be used in the

study

of the

properties

of

77(-, ),

first

we

list

few

simple properties

of the vector valued process

138

CHAPTER 12

which

can

be obtained
any
x >

by standard methods of proof.


0 and t > 0
we

Namely for

have

t-l'*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.

The set of limit points of

is the interval

NON-ACTIVATED VERSION [0,1] www.avs4you.com (Ut,Vt)


a.s.

y/2t log log t

The set of limit points of

is the semidisc

{{u,v)

: v

>

0,u2

v2

<

1}.

The set of limit

points of

rri/i/2

w(M(o,0)

is the interval

[0,21/23/4]

a.s.

for any

>

0, that is,

The usual LIL

implies
i-

hmsup
-,

sup
o<z<Kt*

W(x,fj@,t))
.

=====

a.s.

yj2Kri @, t)ts log log


of Ut and Vt
we

Applying again

the

independence

obtain

AN EMBEDDING THEOREM

139

for any K

> 0

and 6

> 0.

Consequently, by Theorem A2.14) respectively we obtain

12.3 and

by A2.10), A2.11), A2.12), A2.13),

*(x,t)

r,(O,t) ^ 0 a|

forany

x>Q

2yJxr,{0,t)
(t >0),
*->o0'

^^
A2.16)
forany

^\1'2

limsupyifL=L===2LjJ== log log


*-

a.s.

forany

>

0,

2yJ2xr)@, t)

A2.18)

limsup

i/iw!n?@>/?3/4 ^6l/4 x1/2i1/4(lltK/4


=

a-s-

2^/2Ktsri@, t) log NON-ACTIVATED VERSION n(x,t) r}(O,t) -6-1'* /. www.avs4you.com


i-

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

On the distribution of the random walk

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)

and Theorem 11.1

are

way.

We have

the arcsine law

distributed at least for


-

NON-ACTIVATED VERSION already (Theorem 11.10) {Sk} (9.12) www.avs4you.comnonuniformly Chung


met the

Chung

Erdos theorem

and

claiming that the zeros of very we give a few reformulations of the some n. Now
are see

Erdos theorem in order to


zeros

how it describes the nonuniformness of the

distribution of the

of

{Sk}.

First

few notations:

(i)

let

R{n)
be the

max{A;

k > 1 for which there exists

0 < j <

such that

f @,y

A;)

f @, j)

0}

length

of the

longest zero-free interval,

(ii)

let

R{n)
be the

max{A;:

k > 1 for which there exists

0 < j <

A;

such that

M+{j

k)= M+{j)}
of

length

of the

longest flat interval

M?

up to n,

(iii)

let

#(n)

max{Jt

1 < k < n,

Sk

0}

be the location of the last

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

reformulate the Chung

Erdos theorem

(Theorem 11.10)

follows: THEOREM 13.1 Let


=

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

Proof. It is immediately clear that

NON-ACTIVATED VERSION www.avs4you.com UUC(i?(n)) UUC(n *(n))


=
-

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)).

10.3 it is also clear that

UUC(J2(n))
As far
as

UUC(^(n)).
clearly have
-

the process $n is concerned

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

THEOREM 13.2 Assume that


Then

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

Revesz, 1985). Let f(x) be

nondecreasing

function for

which

/(x)/oo,/oo
Then

(z->oo).

if and only if

where Y* is any of the equation

NON-ACTIVATED VERSION www.avs4you.com R(n) R(n)


n=l

of

the processes

and

and

0,85403... is the

root

oo

y
k=l

Consequence

1.

lim inf Besides

log log n

R(n) ()

lim inf

log log nb R(n)

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)-n-Pc(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

THEOREM 13.4 For any

fixed

1,2,...

we

have

144

CHAPTER 13

This theorem in

some sense answers


a more

be? In order to obtain

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

Theorem 13.1 tells


is
one

us

that for

some n

nearly

the whole random walk


some n

{S(k)}%=0

excursion. Theorem 13.3 tells

us

that for

the random walk consists

of at least

0~l log log n


=

values of k

k(n)

excursions. These results suggest the question: For what will the sum Z)*=1-R;-(n) be nearly equal to n? In fact we

formulate two questions:

Question

1. For any 0 <

e <

1 let

T(e)

be the set of those functions

f(n) (n

1,2,...)

for which
()

with

Question

NON-ACTIVATED VERSION /(e)? www.avs4you.com1,2,...) f{n)(n J{o)


probability
1

except finitely

many

n.

How

can we

characterize
=

2. Let

be the set of those functions

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

Revesz, 1985). For

any 0 <

< 1

there

C(e)

> 0 such that

Clog logn J{e).

Concerning Question 2,

we

have the

following

result:

THEOREM 13.6 For any C> 0

/(n)
and

log log n$f{o)

for

any

h(n) /"

oo

(n

>

oo)

/i(n) loglogn

J(o).

EXCURSIONS

145

Knight A986)
excursion of
a

was

interested in the distribution of the duration of the

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)

the duration of the excursion

D(t)

and

E(t)

and the distributions themselves

over a

finite interval. His results

run as

follows:

THEOREM 13.7

(Knight, 1986).

where

NON-ACTIVATED VERSION www.avs4you.com ^_/27r"^1/2


*W-\x-l(Z-y+j.\Ogy)
Ft

/ 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
-

characterization of the distribution of the

zeros

of

{Sn}

is due to Erdos and

Taylor A960/A), who proved

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)

that is very similar to the above

theorem. THEOREM 13.9

lim
-

>
n

log

^
fl

a.s.

where

Remark 2. Theorems 13.1 and 13.2


1

-{o NON-ACTIVATED VERSION www.avs4you.com


imply
that
n
=

/ ,/

Sk >0, sk<o.

liminf-V 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 Borel-set of

R1. We obtain
THEOREM 13.10
is
a

P-null set N C
=

(Brosamler, 1988; Fisher, 1987 and Schatte, 1989). There fl such that for allu <? N and for all Borel-sets A C R1 with

X(dA)

we

have

lim

EXCURSIONS

147

where dA is the

boundary of

A and

For

Strassen type
-

generalization

of Theorem 13.10, cf. Brosamler also mention

A988)

and

Lacey

For the sake of

Philipp A989). completeness

we

THEOREM 13.11

(Weigl, 1989).

J
where

\ (?,k->I(Sk) ilogn) xl
-

<

*(x)

/I

fo

NON-ACTIVATED 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

The definition of the local time of


in the
cannot
an sense

Wiener process
set
=

that

recover

At {t : 0 < t < the local time rj(O,T). Levy called attention

given the random

9.3) is extrinsic T,W(t) =0} one


necessity of

to the

intrinsic definition. He

proposed

the
x

following:
are

Let

N(h,x,t)

be the number of excursions of


are

W(-)
t.

away from

that

greater than h in length and


of W at time t is

completed by

time

Then the "mesure du

voisinage"

\imhs^0 h1?2N(h, x,t),

and

the connection between rj and N is Ito and McKean 1965, p. 43). THEOREM 13.12 For all real
x

given by the following result of P. Levy (cf.


and

for all positive


=

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

THEOREM 13.13 For any

fixed t'

> 0 we

have

hl'2N(h,x,t)-J-r,(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)

excursions is considered. We have


some

THEOREM 13.14 For

0 <

<

1 let 0 < at <

ta(t

>

0)

be

nonde-

creasing function oft


lim
<-

so

that

at/t

is nonincr easing. Then

\t J

log

aj

sup
XfzRi

N{at,x,t)-J
are

r,{x,t)
two

a.s.

The

proofs of Theorems inequalities which are of


=

13.13 and 13.14

based

on

large deviation type


a

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

where h < t'.

NON-ACTIVATED VERSIONDhK, >C\ www.avs4you.com


<
=

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

It is natural to ask about the

Clearly for any x completed by n is equal

analogues of the above theorems for random walk. 0,1,2,... the number of excursions away from x

to the local time

f(x, n),

i.e.
x

M(x, n)
Hence
we

{the

number of excursions away from

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

THEOREM 13.17 Let


/a\ 1/4
/

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)

Z{x,n)P{an)\ >C\< Dn~K,


)

[na] @

<

1/3).
13.17 and 13.18 remain true
prove the

Remark 1.
a

Very likely Theorems

assuming only

< 1.
we

In order to prove Theorem 13.18, first

LEMMA 13.1 Let

NON-ACTIVATED VERSION M{a,x,pn{x)) -nP(a) www.avs4you.com >C1/2|<2(P(a)n)-2C/9,


following simple
n

and

be

positive integers

and C > 0. Then

(nP(a)(l-P(a))lognP(a)I/2
Clog(nP(a))

provided that

A3.1)

Proof.

P(a).

Hence the Bernstein

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'

Proof of Theorem 13.18. Since

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

that n* < in turn

a <

np.

A3.2)

implies

sup

M{a,x,pn{x))

>C

<

Dn~K,

A3.3)

and for any K > 0, 0 < C C{i,6,tp,p,K) and a ?>


=

V
=

< P

<

2 and 0 < 7 < <5 <

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

(9.11) (or applying


>

f@,n), cf. D D{K)

9.3)

for any K

0 there exist

C(K)

> 0

and

such that

for any

NON-ACTIVATED<Dn~K VERSION Clogn www.avs4you.com equivalently


x

A3.5)

Zl

or

P{f(z,n) >C(nlognI/2}
Let
m

<

fln"*.

A3.6)

be

fixed positive integer and

assume

that the event

Am

[m?

<

?{x,m)
m we

<

C(mlogmI/2}

<

/?

<

1/2)
=

holds true. Then i.e.

replacing

by pn(x) (more exactly assuming that f (x,m)


obtain
-

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

assumption that Am holds

true
<

we

m?
i.e.

<

^(x,m)

C(m log mI/2,

2C2

log n

EXCURSIONS

151

Hence

J <

sup

M(am,x,pn(x)) -nP(am)
1/4 -1/4
n

mP<n<C(m log mI/2

3/4

2C2 log

log

am2C2logn

< 4

sup

sup

M(a,x,pn(x)) -nP(a)
aJ

A3.7)

Observe that if f (x,


J <

m)

<

m^ then
mh

if

1-a

0<

Consequently
=0

A3.8)
and
we

if

obtain

a)/4. NON-ACTIVATED 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.

Hence the proof of

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

obtain THEOREM 13.19 Let


an
=

[na]

with

1/5

<

<

1/3.

Then
J/2

sup
zZl

M(onii,n)-((i,n)

\nan/

a.s.

152

CHAPTER 13

THEOREM 13.20 For any K D(K) > 0 such that

> 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

The local time of

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
=

THEOREM 13.21 For any

NON-ACTIVATED VERSION f(n,Pl) /} P{M+(Pl) www.avs4you.com


=

1,2,... and /

1,2,...

we

have

n,

n-22-'-

if

oo

then

n}

5i

(^i)

2"',

Proof.
is

By

Lemma 3.1 the

probability
=

that the excursion

{So, Sx,..., SPl}

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

particle returns to 0. study the properties of ?(M+(p\)


-

j,pi),
that

first

we

investigate the
is the first

distribution of

hitting

of the

f(M+(pj) j,Pi{M+(pi))). (Note level M+(p\).)

p1(M+(p1))

EXCURSIONS

153

LEMMA 13.2 For any I

1,2,...,

1,2,..., j

1,2,...

,n

(Ww
-i) V
and

2j{n-j)

if

>

oo

t/icn

(
1

2j(n-j)\

2j{n-j)J
>

2j

\
n

2jJ
>

n)

2j,

NON-ACTIVATED\M+{px)>n VERSION www.avs4you.com

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

LEMMA 13.3 For any

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
m-1

,...). A3.9)
Further,

(n^oo)

and
n\

Proof. Since

and by Lemma 13.2 the conditional distribution of


-

distribution of U\ hand side of

f(n NON-ACTIVATEDn,^(n,p!) j,p\(n)) equal VERSION ^( J,Pi) Z{n-J,Pi{n)) (given (M+(pi) 1}) www.avs4you.com A3.10)

and that of
to

are

the

we

obtain Lemma 13.3

realizing that the two terms of right


1 and I

are

conditionally independent.
n
=

LEMMA 13.4 For any

2,3,... ,j

1,2,...

,n

0,1,2,...

l-y-1
i-i

if

0,

i 1-

t/
n+1

/=0,

n+1

if

n ^ oo

then

n(n

.(n

l-jJ^2,

EXCURSIONS

155

+ 1
n

n(n
Proof is essentially the
same as

2(n

+ 1

j)

8j

6.

that of Lemma 13.2.

LEMMA 13.5 For any 1 = 2,3,...

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

U\, Vy, V2,..., Vk-\,U2

are

independent

r.v.'s with
\ rn-\

NON-ACTIVATED VERSION j) F{V{ =m}www.avs4you.com


i
^ ^rT

m} 7

27 2.7A1-j)

fV 1

2j(n-j)

7r

l,2;m

l,2,...)
0,

n-1

if

m-l

1-

rr

if

>

1,

n-1

n(n-l)

-j)

n-1

n-1

Aj

6)

8j2

{2k

3Lj

6(ik

1).

156

CHAPTER 13

Proof. Clearly
fc-i

t{n-J,Pi)

t{n-J,pM)
+

E(f(n -i.P<+i(n))
t=i

t{n-J,Piin))

{t{n-j,Pi)

Z{n-j,pk{n))

where

?(
and

"

i.PiH), e(

"

i,P.-+i())

"

?(

"

i,P.'()) (i

1,2, ...,*- 1)

^(n-JiPi) -^(n-JiPfcH)
independent. j,p\(n)) and f (n U2. Lemma 13.4
are

Lemma 13.3 tells

us

that the conditional distributions of


are

j,pi)

?(n j,pk{n))

equal

to

f (n the distribution of U\ and

claims that the conditional distributions of


=

f(n

j,pt+1(n))

?{nj\pi(n)) (i
Hence
we

1,2,..., k

1)

are

equal

to the distribution of

Vj, V2,..., V^j.

have Lemma 13.5.

Theorem 13.21 and Lemmas 13.3, 13.4 and 13.5 combined imply
THEOREM 13.22 For any

NON-ACTIVATED VERSION www.avs4you.com LZ&


j
=

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)

> 0 such that

{?(" -J,Pi)

>

Ci log" |

M+(Pl)
a

n}

<

Cjn"*
> 0 and
a

/or

any

> 0

and if > 0 there exist

C\

Ci(a,K)

C2

C2{a,K)

>0 such that

P{^(n-alogn,p!)
We also obtain the

>C1log2n|M+(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

and Theorem 13.22

we

have

{tfn -i.Pi)
=

>

A(8j2

Aj

6I/2

Aj

2\ M+(Pl)

n}

<

1.

Taking

2j and observing that


2j (8j2 + Aj
-

6I/2 + Aj + 2

<

6j2

Aj

+ 2

we

obtain the above

inequality.

13.4

How many times

can a

random walk

reach its maximum?


Let

x{n)
a

be the number of those


is

places

where the maximum of the random walk there

SO,SU... ,Sn
exists

Csaki

he obtained

A3.11) NON-ACTIVATED 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
..

evaluated the exact distribution of

In

THEOREM 13.23 For any k

0,1,2,...,

[n/2]; n

1,2,...

we

have

P{X(n)

k +

1}

2-*P{AC_t

>

*}.

Proof. Consider the sequence

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<n-jfc 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
n-oo

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

and the random variables L


=

1,2,... and K

0,1,...) NON-ACTIVATED VERSION independent. 0,1,...) (t www.avs4you.com P{?


=

k}=2~k
f*
we

{k

1,2,...;
are

Hence for any

1,2,...

have

Choosing
K
we
=

Kn

It

lg n

and

Ln

obtain
P

I
if
n

t^n

is

big enough. Hence


max

ft*
>

Hminf
noo

a.s.

lg n

Since M+ >

n1/2(lgn)
n we

a.s.

(cf.

Theorem of Hirsch, Section

5.3)

for all but

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

1-A-^57)
?,*
l

n^T)

>T.

Then

we

max i<L

<
~~

a.s.

for all but

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)

lg-W

a-s-

if N is

big enough, which

in turn

implies

the Theorem.

LEMMA 13.6 Let

< -Mn.n M1:n < X2:n < from the sample Mo, Mi,..., Mn-i- Then for

and let 0 <

NON-ACTIVATED {k 1) max{5(pJk), S{pk 1),..., S{pk+l)} VERSION sample M+(pn) www.avs4you.com


Mk
=

0,1,...

,n

be the ordered
e

obtained

any 0 <
a.s.

< 1

we

have

Mn:n

Mn:n-i

>

ne

for all but finitely


Proof. Let

many

n.

An
30
<

An(a,e)
<

i <

<

such that

r-

(logn)a

Mi, Mj

<

n{\ogn)a, \M{

Mj\

<

ne

\.

Observe that for any i fixed

^
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

positive integer with T(l


occur

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

Consequently only finitely


Since

many of the events


<

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

THEOREM 13.25 For any C


sup
j<Clogn

there exists

D(C)
a.s.

> 0

such that

?(M+(n)

j,n)

<

Dlog3n

for

all but

In this section

values.

Many efforts were devoted we mention only the following: Here


THEOREM 13.26

investigated NON-ACTIVATED VERSION studying www.avs4you.com


as

finitely

many

n.

well

as

in Section 13.3
to

we

the local time of big the local time of small values.

(Foldes

Puri, 1989). Let


=

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
N-oo

.,

A3.13)

and

liminf5lt^^llM2,oglogiV
where

....

AS.M)

Co(ct)

is the

unique

root

of the equation
a
u

tan

1-a

in the interval Note that in

@, |].
=

case a

l,co(a)

tt/2.

Hence

A3.13)

resp.

A3.14)

are

equivalent

with the Other LIL resp. LIL of Khinchine.

Chapter

14

A few further results

14.1

On the location of the maximum of

random walk
Let
a

/x(n) (n

random

If there is
since
argue

NON-ACTIVATED VERSION /x(n) A4.1) \Sk\ 5(/x(n)) M{n) www.avs4you.com A4.1)


=

1,2,...) be the location of the walk {Sn}, i.e. fi(n) is defined by


=

maximum of the absolute value of

max

and

<

n.

more
as
=

than

one

integer satisfying

then the smallest

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.

by the Law of Iterated Logarithm for

any

> 0

(n))|
with

<

e)Bjx(n) log log ^H


the Other LIL for any
e >

probability

1 if

is

big enough. By

B
consequently
<

IT

log log n

A+ eJ/x(n) log log /x(n)


7T2
n

and

161

162

CHAPTER 14

if

is

big enough.

We ask:

Question
In fact
we

1. Can

/x(n)

attain the lower bound of

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

the Law of Iterated

Logarithm

NON-ACTIVATED VERSION 2e)-7= www.avs4you.com


/

2)
.

T-,.-," J
\

B log log nI/'


,
.

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

Revesz, 1987). Let

Then

for

any 6 > 0 there exists

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
/

0-e- ^(n)
\

^s

^^

smaH

possible)

then
V2

2 \

log log n

A FEW FURTHER RESULTS

163

Question
as

3.

Intuitively

it is clear that

M(n)

can

be

(and

will

be)

small if

/x(n)

is small. Theorem 14.2 somewhat contradicts this

small

as

possible then M(n)

feeling. It says that if /x(n) is will be small but not as small as possible without
It will be

having
small

any condition about

/x(n).
is
-

which is the smallest


can

possible

value of
as

f (j^^I/2 instead of -^ M(n) by the Other LIL. We


possible? The
answer

ask: How

/x(n) be,

if

M[n) (Csaki

small
-

as

is:
> 0

THEOREM 14.3
an e
=

Foldes

e{L)

> 0 such that with

Revesz, 1987). For any L probability 1 the inequalities

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

NON-ACTIVATED VERSION M(nk) g{nk)T. /8 J -V '(loglognjkJ www.avs4you.com M(n) /x(n)


<
rr

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.

Sections 4.4 and

5.3).

THEOREM 14.4

(Csaki

Foldes

Revesz, 1987). Let

ain)

(log log nJ
71

mW,

1/2

Then the set

of limit points of the

sequence

(a(n),b(n))

as

(n

>

oo)

is K with

probability

1.

164

CHAPTER 14

Remark 1. This theorem

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

Revesz, 1987). Let

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

consequence of Theorem 14.4 let

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

NON-ACTIVATED VERSION Af(a) =M{ot R*{n)). www.avs4you.com (or 14.4)


+

<

+ R*

(n)

<

by Theorem

14.1

we

have

THEOREM 14.6

(Csaki
.

Foldes

Revesz, 1987).
7T2

hminf
n-oo

(log log nJ In
n

K (nil

a.s.

Equivalently for

any

e >

7T2

7T2

As far

as

the lower classes of R*

(n)

are

concerned

we

have

THEOREM 14.7

(Csaki

Foldes

Revesz, 1987).

lim.nfloglogn
n-oo

'

A FEW FURTHER RESULTS

165

where

0 is the

root

of the equation
oo

ok
=

(cf.

Theorem

13.3). Equivalently for

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

the lower classes the

no

difference

can

be obtained.
we

NON-ACTIVATED VERSION ut{x,y) (Imhof, 1984). www.avs4you.com (r^), t~ll2rn{t)) M(t)


About the proofs of the above theorems
mention that

they

are

based

on

following:

THEOREM 14.8 where

Let

be the

is the location

of

the maximum

joint density of of a Wiener process. Then

14.2
Let

On the location of the last


be the location of the last
zero

zero

^(n)

of

random walk

{5jk,A:

<

n},

i.e.

?(n)
then

max{A:
is
a

0 < k < n,

Sk

0}.

Theorem 13.1 claims that: if

g(n)

nondecreasing sequence of positive numbers

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

Furthermore, let a(n),/?(n) following conditions:

be sequences of

satisfying the

fol-

(n) NON-ACTIVATED VERSION a{n) P{n) www.avs4you.com


a.

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
/

< -

A FEW FURTHER RESULTS

167

Remark 1. all but


>

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.

In other words the

Sn

f{n)

na(n)

simultaneously hold with

inequalities probability 1 only for


we

finitely

n.

In order to illuminate the

meaning of the above theorem

present two

examples. Example 1. Let f(n) the inequalities


Sn>
hold with
=

(B

e)n log log nI/2^

< e <

2).

Then

we

obtain that

(B-e)nloglognI/2
1

and

#(n)>J(l
n.

e)n

probability
>

only for finitely

many

However,
i.o.
a.s.

Sn

(B

e)nloglognI/2

and

V{n)>Ul- e)n

The above two statements also follow from Strassen's theorem

(Section 8.1).

Further,

Sn>{{2- e)nloglognI/2
if and
a.s.

if 77 < e. but there are only

only

NON-ACTIVATED VERSION #(n) n(logn)"n ^f(n) n(logn) www.avs4you.com ^(n) n(logn)


and
<

i.o.

a.s.

Note the

surprising fact that

<

i.o.
>

(InloglognI/2

finitely many n for which (say) simultaneously hold.


=

<

and Sn

Example 2. Let f(n) the inequalities


Sn
hold with
>

BnloglognI/2.
and

Then

we

obtain that for any

e >

BnloglognI/2
1

tf(n)
many
n.

>

(- + e) }^^n \2 log2n
/

probability
Sn
>

only for finitely


and

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,

^ for those n's for which

M{n)

is very small

study the behaviour of (nearly equal 7m1/2 (8 log log n)/2,


we

to

168

CHAPTER 14

cf. the Other LIL

E.9)).

In this

case we can

expect that

ty(n)

The next theorem shows that this

feeling

is true in

some

is not very small. In order to sense.

formulate it introduce the following notations. Let "/(n) and of positive numbers satisfying the following conditions:

6(n)

be sequences

0<-y(n),*(n) < 1, 6(n) nonincreasing, 6(n)n1/2 f "/(n) monotone, ^{n)n | oo,

oo,

))~2

monotone,

o[n)
Then
we

have

THEOREM 14.10

(Grill, 1987/A).
<

depending

I^jS) 73('y,5) NON-ACTIVATED VERSION www.avs4you.com


on

P{#(n)

ni{n),M(n)
< oo

<

6{n)n1'2 i.o.}
=

or

whether

or

oo

where

Consequence. The limit points

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

A FEW FURTHER RESULTS

169

for all but

finitely
<

many

n.

Similarly
/

if
\

1/2

M(n)
for all but

D-37-eI/27r
many
n.

then that if
-

\81oglogny
means

tf(n)

> -yri

a.s.

finitely

This

M(n)
3"/
-

cannot be too small. For

example, choosing D
/

eI/2
>
~

is very small then ^(n) 1 + 6 we have: if


=

1/2

M(n) <(l+6)ir\ ; v ; v
~

then

\81oglogn;
we

tf(n)

6)n

a.s.

for all but

finitely
> 0

many

n.

Having
0 < nx
=

the above result

formulate the
w

following conjecture:
a

For any 6

and for almost all


< n2
=

ft there exists

sequence of

integers

ni(u;,?)
O<(l

ri2(u},6)

<
\

...

such that

1/2

tyr

\8

Iand log log rii)

*(nO

nt

(t

l,2,...).
on

The

proofs of

the above two theorems of this

paragraph

are

based

the evala

evaluation of the

formulated to Wiener process.

THEOREM 14.11
>

NON-ACTIVATED VERSION 1988). (Csaki www.avs4you.com


-

joint distribution of ^(n) and Sn. Here Grill,


Let
x

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)

Uhlenbeck process and theorem of Darling and Erdos


The Ornstein
=

Consider the Gaussian process

0,

EF2(t)
V(t),

1 and

function
out of

immediately suggests that,


we

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),

and mention, without

proof,

the

following:

170

CHAPTER 14

THEOREM 14.12

(Darling- Erdos, 1956).

lim
Too

P{

sup
0<t<T

U(t) \U(t)\

<

a{y,T)}
a{y,T)

exp(-e-tf), 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

large deviation type theorem of Quails and Rosenblatt, 1973).


a

A972)

THEOREM 14.13 For any T

> 0 we

have
'

'/'
=

z-oo

0<KT

Applying their invariance-principle method Darling


THEOREM 14.14

A956) NON-ACTIVATED VERSION www.avs4you.com


and Erdos also

proved

Jjrn P{max AT^S*


and
lim
n> oo

<

a{y, logn)}

exp(-e-tf)

P{max Ar~1/2 | 1 < Jk <


n

Sk

|< a(y,logn)}

exp(-2c-tf)

for

any

-oo

< y < oo.

A strong characterization of the behaviour of maxi<jk<n

k~l/2Sk

is

given in the

following:
THEOREM 14.15

lim
n-oo

max1<Jk<nA:
;
^-=

Sk
rrjz
=

CIS.

B log log nI/2


implies
that k

Proof. The LIL of Khinchine

limsup;-=-^r
n-oo

maxi<Jk<n

Bl0gl0gTlI/2

tttt <

lSk

a.s.

A FEW FURTHER RESULTS

171

Applying Theorem
there exists
a

5.3

we

obtain that for any

big enough with probability

with

such that
>

K1-

Hence

max l<*<n

-^
y/k

>

?=
y/K

>

\l2\og\ogK,
V

>

v^loglogn1"*"

>

(l

e) \J2 log log n

and

we

have Theorem 14.15.

It looks also

interesting
=

to

study

the limit behaviour of the sequence


-

We prove

THEOREM 14.16

NON-ACTIVATED VERSION www.avs4you.com


0<j<n l<Jfc<n-j

Ln

max

max

AT1/2(Si+Jk

S,)

(n

1,2,...).

l<liminf\r-jz BlognI/2
n->0

<

limsup
n_>0O

7\rjz
BlognI/2

K <

00

a.s.

where the exact value of K is unknown.

Proof. Let an [(log for any e > 0 we have


=

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

A983/A E.11 a)) will be utilized: If an f(n) logn with f(n) /


=

00

then

limsup
n00

sup

sup

0<j<nan<k<n-j

}> ,, B1ognj1/^
,

< 1

a.s.

172

CHAPTER 14

Applying again Theorem hmsup


noo

7.13

we

obtain

sup

sup

k-lt*{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
n-oo

sup

sup

< 1

a.s.

0<j<n l<Jk<21ogn

/2k lOgU
we

Since

f(n)

may converge to

infinity arbitrarily slowly

obtain the Theorem

by the Zero-One Law.


We present
on

the value of K of Theorem 14.16 the


1. resp.

following:

Conjecture. K
Let

u{n)

u(n,S)

u(T)

u(T,W)

be the smallest

integer

resp.

the

smallest positive real number for which

resp.

NON-ACTIVATED VERSION www.avs4you.com


an

It looks

interesting question u(T,W). Clearly

to

characterize the properties of

v(n,S)

resp.

u(n,S)=n
On

resp.

u{T,W)

i.o.

a.s.

LLC(i/(-,-))

we

have
e >

THEOREM 14.17 For any

exp({\ognI-') LLC{u{n,-)).
Proof.

By Theorem

14.15 and the LIL of Khinchine

we

have

which

implies Theorem

14.17.

Remark 1. Since the Invariance


max l<*<n

Principle (cf.
max l<t<n
\

Section
j\

6.2) only implies


a.s.,

that

Jfc/25jk

r1/2W(*)|

<
-

Oil) \ j

A FEW FURTHER RESULTS

173

we

cannot

get Theorem 14.14 from Theorem 14.12 by the Invariance Principle.


14.17
we

However, applying Theorem


max Kk<n

obtain
< O

k~l'2Sk
Hence

max

rl^W(t)\

(expHlognI"8))

a.s.

for any e Invariance

>

0.

we

obtain Theorem 14.14 via Theorem 14.12 and the


of
0

Principle. Studying the strong behaviour


e >

U(t) Quails

and Watanabe

A972) proved

THEOREM 14.18 For any

and

14.4
Ito

A discrete version of the Ito formula

A942)

where

NON-ACTIVATED VERSION f f(W(s))dW(s) www.avs4you.com /()


defined and studied the so-called

Itd-integral

Jo

is

definition but

continuously differentiate function. Here we do not give the we mention an important property of this integral, the celebrated

ITO-FORMULA

(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 so-called Ito-formula. Here we find the analogue of A4.7) for random walk. In fact we prove

A4.7)

is

THEOREM 14.19 function and

(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

Remark 1. The function

g(-)

can
-

be considered

as

the discrete

analogue

of the

integral /on f{X)d\,


and

X-+\{f{Si+i)
can

f{Si))
as

is the natural discrete version of

/'($)

YX=i f{Si)Xi+i

be considered

the discrete

Itd-integral.

Proof of Theorem 14.19. We get

(In

order to check
<

A4.9)

consider the six


=

0,Si

0;Xi+i

l,Xi-i

-1

corresponding to 5, separately.) Summing up A4.9) from


cases

0, S;

>

0 to

n we

obtain

A4.8).
1. Let

Example

and

NON-ACTIVATED VERSION A4.10) W{S)dW{S) V^ft-twww.avs4you.com A4.8)


=

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

The term while

5n+1/3

A4.13)

is not

the orders of

magnitude of the that of 5n+i is n1/2 only.


Applying

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).

A FEW FURTHER RESULTS

175

The celebrated Tanaka formula


Wiener process via

gives

representation of

the local time of

It6-integral.

TANAKA FORMULA have

(cf. McKean, 1969).


Jo

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
=

Revesz, 1985). For


n-l

any

Z1 and

1,2,...

?(x,n)

\Sn -x\-\x\-Y, signEfc


Jk=O

x)Xk+l.

A4.14)

Proof. Observe that

NON-ACTIVATED VERSION www.avs4you.com


Jk=O

if

0,

signEfc -x)Xk+i
n-l

-1

(i
-

l,2,...),
1

signEfc
where

x)Xk+i

\Sn

x\

fi=iC{x,n)
The above three

if

x^O,

equations easily imply A4.14).


can

Remark 3. The Tanaka formula

be

proved from A4.14) using

Invariance

Principle

1.

Chapter

15

Summary of

Part I

Exact

Limit distr. Th.'s

Upper
classes
EFKP LIL
Sect. 5.2

Lower

Strassen

distr.

classes Th. 5.1


Th. of

type theorems
Stras sen's

Sn

Th. 2.1 Th. 2.6

Mn

NON-ACTIVATED VERSION Chung www.avs4you.com


Th. 2.13

2.9, 2.10

Th. 1. Sect. 8.1

EFKP LIL

Sect. 5.2

Th. 8.2; Wichura's Theorem


Sect. 8.4

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

The limit behaviour of that of M+

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

The limit behaviour is


the
same as

that of
>

f@,n)
Th. 9.5

for fixed x,n

oo.

Varadhan
Sect. 11.4

The limit behaviour is the

same as

that of

f@,n)/2 (cf. A0.14))

or

M+/2 (cf.

Th.

10.4).

177

178

CHAPTER 15

Exact distr.

Limit distr. Th. 9.14,

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. 11.5 Th. 13.1 Trivial Th. 13.1 Th. 13.1

Th. 9.8
Th. 9.9

(9.12) (9.12)

*W

The limit sehaviour ol tllat of

R{n)

is the

same as

R{n) by

Th. 10.3

Th. 14.6

Th. 14.7 Th. 14.1

/x(n)
Th. 9.10

Trivial

(9.12)
Th. 2.14

Trivial Th. 13.24


Th. 7.2

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 above-mentioned 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

NON-ACTIVATED VERSION www.avs4you.com


AC
Th.'s 2.5, 2.6,
5.8

M~ Th.'s
5.8

tf(n)
2.5, 2.6,
Th.'s 14.4, 14.5
14.8

Th. 14.9 Th.'s 14.10, 14.11

Mn

AC

Th.'s 5.5, 5.6

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

without form and

void,

and darkness

was

upon the face of the

deep."
The First Book of Moses

NON-ACTIVATED VERSION RANDOM WALK IN Zd www.avs4you.com

II. SIMPLE SYMMETRIC

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

then at the moment

Zd

are

those elements of Zd whose d

1 coordinates coincide with

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,...)

distributed random vectors with

NON-ACTIVATED VERSION www.avs4you.com d) e,} V{XX -e,} ^ (i


= =

1,2,...

where t\,t2,...,td

are

the

orthogonal
e

unit-vectors of
d

Zd.

2. For any

(xu

x2,...,

xd)

Rd let

||i||2

?>,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

min{/c : min{/c: m\n{k P{S2k


:

k> pi,Sk
k >
=

0}, 0},
=

pn

pn-i,Sk

0}.

7. p2k

0},

p2k+1 =0

(k

0,1,-2,...).

181

182

II. SIMPLE SYMMETRIC RANDOM WALK IN Zd

8.

q2k='P{S2k=0,S2k-2 ^0,...,54^0,52^0}=P{p1 P{?@,2*)=l, f@,2A:-l)=0} (A: 1,2,...)= =

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

Jlm-y^
oo

P{nlim f @,n)
n-oo

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)
=

d-dimensional Wiener process.


12.

m{t)

NON-ACTIVATED VERSION www.avs4you.com

Chapter

16

Recurrence theorem

This

chapter

is devoted to

proving the

RECURRENCE THEOREM

(Polya, 1921).

PI9n =0 *

*"

This Theorem the


case

NON-ACTIVATED VERSION proved www.avs4you.com


was

'*

\=l1

[0

if if

d~2'
d
> 2.

for d

1 in Section 3.1. Hence

we

concentrate

on

d > 2.

LEMMA 16.1 For any

1,2,...; d

1,2,...

0}

B)!
nd)

Proof is trivial

by

combinatorial argument.
as n
>

LEMMA 16.2 For any d= 1,2,...

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

16.1 and 16.2.

LEMMA 16.3 Let d

2.

Then
2n

2n-k

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

Taylor, 1960/A, B.9)


0

and

B.10)).

Let d

2,

(xi,x2)

and xx + i2

(mod 2).

Then

n>\\x\\\ NON-ACTIVATED VERSION P{S2n x} www.avs4you.com


if
7TM
=

<(-L+O(n-2))exp(-H!)
by the Stirling formula.
>

if

n<

Proof

can

be obtained
one can

Similarly

obtain

LEMMA 16.5 Let d

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

have Lemma 16.6.


case

Proof 1 of the Recurrence Theorem. In the


-

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).

Remark 1. Lemma 16.6 is also true in the


the d
it
=

same.)
case

1. The third

the

requires hard work. The second

NON-ACTIVATED VERSION proof 3.2) (cf. applied proof www.avs4you.com difficulty. proof
case

1.

(The proof is essentially


theorem in the
d
case

Hence

we

obtain

a new

of the

recurrence

proof

Section

applied
can

in

case

1 does not work in


case
=

d > 2. The idea of the first

be

in the

2 but

can

be used without any

Proof 2 of the Recurrence Theorem. Introduce the

following

notations:

Po q2k

l,

P2k

P{S2k

O}*2y4k^j

P{S2k

0,52Jk_2 ^ 0,52Jk_4 ^ 0,..., S2 ^ 0},


=

P(z)

f>2fcz2\ Q{z) fjq2kz2k.


{p2jt}
po p2 p\ p6

Between the sequences

and

{<72jt}

one can

easily

see

the

following

relations:

@) A) (ii) (iii) (k)

1,
q2, <74 "H qiPii q6 + q4p2
-

p2jfc

<72Jfc + <72Jfc-2P2 H

h <72P2Jfc-2>

186

CHAPTER 16

Multiplying the

k-th

equation by z2k and adding them


+ l

up to

infinity

we

obtain

P(z)=P{z)Q{z)
By Lemma
16.2
we

i.e.

Q(z)

l-J^.

A6.1)

obtain
=

oo oo

hm

if if

P(z) {

<

d < 2, <i > 3,

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

NON-ACTIVATED VERSION www.avs4you.com


[I
2.
we

have the theorem.


case

d > 3 the formula


some n
=

P{5n

0 for

1,2...}

P{

lim

f @, n)

0}

l-l^
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

Lemma 16.1. For

example,

in

the

case

one

can

Z)*Li

92*

0.35.

In fact this method is not

easily applicable for example, for d


=

concrete calculations.

Griffin

A989)

gave

better version

of it and evaluated the

for many values of d. For 3,4,20 he calculated that the probabilities of recurrence are

probability

of

recurrence

RECURRENCE THEOREM

187

0.340537, 0.193202, 0.026376. Note that in the


Hence the

case

20,

P{52

0}

0.025.

probability that

the

particle

returns to the

origin

but not in the second

step is 0.001376.
It looks also- interesting to estimate the

probability

n-l

that the particle returns to the origin but not in the first 2n
LEMMA 16.7

steps. We prove

(Dvoretzky

Erdos,

1950).

For any d > 3

>2n

2)

>

A6.3)
k=rt

Proof.

NON-ACTIVATED VERSION ,2n} '5i www.avs4you.com,2n} 5i EPE2. '5i


n

Classifying

the

paths according
=

to the last return to

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)

from both sides of

{16.4)

we

have

A6-6)
Since q2n

we

have
n

An

> l2n+2

An

+ -y

J2 Pn-

(I6-7)

188

CHAPTER 16

Since

t=l

\t=0

)
and 9
of

(cf. 10 of Notations)

Notations and

A6.2))

we

obtain

(by A6.5), A6.8), A6.7)

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

Consequently (by A6.8))

A6-9)

Hence

NON-ACTIVATED VERSION A6.3) www.avs4you.com


we

t=0

have

by Lemma

16.2.

Chapter

17

Wiener process and Invariance

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 d-dimensional Wiener process. We ask how the random walk Sn can be approximated by H^(t).
Let
=

2. The situation is very simple if d Consider a new coordinate system with


=

system

NON-ACTIVATED VERSION www.avs4you.com A,0) B-V2, 2-1/2)


axes

x, y

x.

In this coordinate

'

if if if if

(-2/ 2? 2-1/2) (-2/ 2?_2-l/2) B-1'2, _2-i/2)

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

\2-1/2Wx (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

THEOREM 17.1 Let d


one can

2.

Then

on a

rich

enough probability
a

space

{fl, 7,P}

define

Wiener process
.i
_

W(-)
i

R2 and
/

random walk Sn Z2 such


a.s.

that
i/>
\ii

189

190

CHAPTER 17

In the

case

d > 2 the above idea does not work. Instead


=

we

define

/C?)
where
e< is

#{k

1 < k <

n,Xk

e,

or

e,}

(t

1,2,...
have

,d)

the t'-th unit vector in Zd. Then by the LIL

we

a.s.

A7.1)

Sn (SJil\SJ?\...,SJ4) (where SW is the i-th coordinate of Sn in the original coordinate system). Then by Invariance Principle 1 there exist indepen=

for any Let

> 0

and for all but

finitely

many

n.

independent Wiener processes

WX(-),W2{-),...,Wd{-)
=

such that
=

O(log /CW)

O(logn)
we

a.s.

for any

1,2,..., d. By

A7.1)

and Theorem 7.13

have
a.s.

Consequently

THEOREM 17.2 On
a

Wiener process

NON-ACTIVATED VERSION probability {fi,7,P} W(-) www.avs4you.com


we

have

rich

enough
a

space

one can

define

Rd and

random walk Sn 6

Zd such that

il
=

logn

for

any d

1,2,

It is not hard to prove that

P{W(t)
and

i.o.}

=1

if

P{W(t)
Hence
we can

0 for any t >

0}

if

d > 2.

say that the Wiener process is not recurrent if d > 2.


a

However,

it

turns out that it is recurrent in THEOREM 17.3


e

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

that there exists

t2{u,e)

<

such that

limn_oo tn

random sequence 0 < t\ oo a.s. and ||W(tn)|| < e (n

ti(u>,e) < t2 1,2,...).

WIENER PROCESS AND INVARIANCE PRINCIPLE

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}

c-b
c

1,

logc- log 6 logc


-

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

NON-ACTIVATED VERSION A7.4) ||W(i)|| www.avs4you.com A7.4)


lim
=

equivalent
t-oo

to

oo

a.s.

if d

> 3.

be characterized for which

T{\\W{t)\\<et
This

i.o.}

l.

A7.5)

question

was

studied by Spitzer

A958),

who

proved
Then

THEOREM 17.4 Let

g(t)

be

positive nonincreasing function.

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

of Theorem 17.4 is based

the

following:

192

CHAPTER 17

LEMMA 17.2

(Spitzer, 1958).

For any 0 < tx < t2 <

oo

we

have

Here

we

also mention

simple

consequence of Theorems 2.12 and 2.13

(cf.

also Theorem

6.3).
> 0
we

THEOREM 17.5 For any d= 1,2,... and T

have
u
->

P(m(T)
and

>

uT1/2)
uT1'2)

O(trVu3/2)
exp(-O(u-2))
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

NON-ACTIVATED VERSION iV/3. Y{M{N) uNxl2) exp(-O(u)) www.avs4you.com


<
=

if

->

6u*

>

Chapter

18

The Law of Iterated

Logarithm

At first

we

present the analogue of the LIL of Khinchine of Section 4.4.

THEOREM 18.1

\imsnpbt\\W{t)\\
t-oo

a.s.

A8.1) A8.2)

and

where bt

Proof. By the LIL of Khinchine

NON-ACTIVATED VERSION B* log*)/2. www.avs4you.com


limsup6n<i1/2||Sn||
noo
=

a.s.

log

we

obtain

rr

r r

> 1.

t-oo

In order to obtain the upper estimate that


t-oo

assume

that there exists

an

> 0

such

limsupbt\\W{t)|| (Zero-One Law (cf. 4>k karccos0,(k If 6t||VV(t)|| > 1 + e


=

> 1 +

e:

a.s.

Section
=

3.2)).

For the sake of

simplicity
where 0
=

let d

2 and define +

0,1,2,...

^(arccos)])
a

er/2)(l

er).

then there exists

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.
=

Applying the method of proof of Strassen's the following stronger theorem:


193

theorem 2 of Section 8.1

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}

We ask about the


see

analogue of

the EFKP LIL of Section 5.2. It is trivial to


case

that if

a(t)

ULC{H^(t)}

in the

'l then the

However, the analogue statement for UUC{Wr(t)} we mention that Consequence 1 of Section 5.2 tells
any
e >

is true for any d. is not true. As an example,


same
us

that in the

case

1 for

NON-ACTIVATED VERSION ( e) log log n) [2n Hog J www.avs4you.com


0

1/2

Sn

<

log n

log

a.s.

for all but

finitely

many

n.

However,

it turns out that in

case

>

1 it is not

true. In fact for any d > 1

d1/2Sn
Now
we

>

Bn

Hog log n

l log l l log log

n) )

i.o.

a.s.

formulate the

general
-

THEOREM 18.4

(Orey Pruitt, 1973).


any d=

Let

a(t)

be

nonnegative nondecrtas-

ing continuous function. Then for

1,2,...

tl'*a[t)WC[\\W[t)\\)
and

if and only if
J\

r fe

THE LAW OF ITERATED LOGARITHM

195

Remark 1. The function


n

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

interested in the rate of convergence in

A8.5).
be
a

of

escape. We

present

THEOREM 18.5

(Dvoretzky Erdos, 1950). Leta(t)


-

nonincreasing,

non-

negative function. Then

tl'*a{t)eLLC(\\W(t)\\)
and

(d>3)
>

n^ofrOeLLC^HSnll) {d
if and only if
< oo.

3)

Remark 2. The function

NON-ACTIVATED VERSION A8.6) f>B"))-2 www.avs4you.com


n=l

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

Section 5.3, i.e.

we are

interested in the
sup

analogue of Theorem liminf properties of

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

NON-ACTIVATED VERSION www.avs4you.com

Chapter

19

Local time

19.1

?@,n)inZ2
Chapter
16

The Recurrence Theorem of

clearly implies
-

Hence

we

THEOREM 19.1

NON-ACTIVATED VERSION properties @, n) www.avs4you.com 1960/A).


hm
n-oo

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

of this theorem is based

on

the

following:
-

LEMMA 19.1

(Dvoretzky
=

Erdos 1950, Erdos


=

Taylor 1960/A).

>n}
Proof.

P{?@,n)
also 9. of

0}

^
=

O((logn))

(d

2).

By A6.4) (cf.
n-l

Notations)

we

have

?P{S2fc
Jk=O

0}P{?@,2n-2A:-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

Since the sequence obtain

P{?@, 2n)

0}

is

nonincreasing by A9.1) and A9.2)

1 >

P{?@,2n

2)

0} ]TP{S2fc
*=o

0}

P{e@,2n

2)

"

and

P{e@,2n)=0}<^^.
Similarly
1 <

A9.3)

for any 0 < k <


k

by A9.1)
n~l

Thus, if k tends

2) ? PE2j 0). EPfe 0) P(e@,2n NON-ACTIVATED0)VERSION A9.4) www.avs4you.com A9.4) yields

2k

to

infinity together with

n,

7T

7T

Taking

[n/ log n]

we

have

P{?@,2n)=0}>
Hence
we

logn
can

have the main term of Lemma 19.1. The remainder


with
a more

be obtained

similarly but

tedious calculation.
=

Proof of Theorem 19.1. Let q

[xlogn]
<

+ 1 and p

[n/q\.
Pk-X <

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

O(log nJ NON-ACTIVATED VERSION (lognK/4. www.avs4you.com A9.5) A9.6)


19.1

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

Note that Theorem 19.1

easily implies
2.

THEOREM 19.2 Let d

Then
< exp

Jim
uniformly for
0 <
z

|pn
E

[-) |

exp(-7rZ)

<

n3/7.
x

Clearly for
as

any fixed

Z2 the limit properties of

?(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

information about this

case.

200

CHAPTER 19

THEOREM 19.3

(Erdos

Taylor, 1960/A).

Let d

2.

Then

f 2log||x||
logn

/1 + o/log3|kl
log.
i l + O

if

20 <

||x||

<

n1/3,

n 1/2

logn

20

log

Proof.

By A6.4)

we

have
P2T2n-2+2
i=0
=

A9.7)

and

provided imply

NON-ACTIVATED x}72n-2Jk+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}

72n+2 < 72n-2Jk,+2


Jk=l

72n-2Jk3+2
ik=iki + l

Now in the Lemmas

case

400 <

||x||2

<

n2/3 put kx

\\x\\2

and k2

[n4/5]

then

by

19.1,

16.2 and 16.4

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}

l2n+2 > l2n+2

?>2Jk
Jk=i

P{52Jk

~~

I'll*
i

This, by

Lemmas 16.2, 16.4 and 19.1,

NON-ACTIVATED VERSION www.avs4you.com


implies
have Theorem 19.3 in the
be treated
case

log2 ||x||

ii

ii2"

hence
As

we

20 <

||x||
we

<

n1/3. The

case

n1/6

<

n1/2/20
a

can

similarly.
prove

trivial consequence of Theorem 19.3


nk
=

LEMMA 19.2 Let

[exp(e*log/E)].
?@,n4)
=

Then for any k

big enough
3
<

,nf*)
Proof. Since

| Sr,j

0,1,2,... ,nk}

log A;

\\Snk\\

< nk, for any

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

The next theorem gives

complete description

202

CHAPTER 19

THEOREM 19.4

(Erdos

be

decreasing

resp.

Taylor, 1960/A). Let increasing function for which


-

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) r-g(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

Remark 1. The function


=

satisfies

NON-ACTIVATED VERSION log^ log5 \o%k+1 log4 g{x) log3 A9.10)www.avs4you.com


x

+ 2

if and

only if

> 1.

The function

f(x)
satisfies

(log log x)"'

A9.12)
any
e

if and only if Instead of

> 0.

Proof of

A9.9).
> 0

A9.9)

we

prove the somewhat weaker statement

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

{^@, nk) (l |) ^Oog nk) log3


+
-

and

by

Borel

Cantelli lemma

nk)

<

fl

|J ^(log nk) log3

njk

a.s.

LOCAL TIME

203

for all but

finitely

many k. Let n^ <n < njk+i. Then


<

f @, n)
if k is

<

f @, Mjk+1)

(l + |^ TT-^log Mjk+1) log3 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

19.1 and Lemma 19.2

and

similarly

NON-ACTIVATED VERSION www.avs4you.com


for any

< k

Hence

we

obtain

A9.14) by
e

Borel

Cantelli lemma.
we

Proof of

A9.11).

Instead of

A9.11)

prove the somewhat weaker statement

only:

For any

> 0

(lognHloglogn)
and

LUC(f@,n)) LLC(f@,n)).

A9.15)

n)-1-'
Let njk
=

A9.16)

[exp(efc)j.

Then by Theorem 19.1

nt)<,. ^ (loglognjk
and

by Borel

Cantelli lemma

"

204

CHAPTER 19

for all but

finitely

< many k. Let nk

< 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.

Since the r.v.'s p2'

P2'-1

are

independent
~

we

Pv > p-iT

Pv~x

^ Cr2r

and

consequently

f@,exp(Cr2r))
Let
n
=

<

2r

i.o.

a.s.

NON-ACTIVATED VERSION f@, n) www.avs4you.com


exp(Cr2r)
with C
=

log 2.

We get

<

-:

i.o.

a.s.

log log n
fact
a

Hence the proof of Theorem 19.4

(in

slightly

weaker version of

it)

is

com-

complete.
Note that Theorem 19.4

easily implies
s >

THEOREM 19.5 For any

exp(n(lognI+e)eUUC(pn), MlognI-') GULC(pn),

) GLUC(pn),
exp

(A e)-^ )
-

LLC(pn).

19.2
As
we

f (n)
have
seen

in

Zd

(Recurrence Theorem, Chapter 16)


lim

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,

it turns out that

THEOREM 19.6 For any d>l


lim
noo

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

NON-ACTIVATED VERSION A960/A). www.avs4you.com


n-oo

minf>

Jog n

implies Theorem
was

19.6.

exact result

obtained by Erdos and Taylor

They proved

THEOREM 19.7 For any d>3

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

Erdos and Taylor

A960/A)
=

also formulated the

following:

Conjecture.

For d

lim T n-^

()

1
rr
=
-

a.s.

(lognj2

7T

206

CHAPTER 19

19.3
First
we

A few further results


give
an

analogue

of Theorem 13.8.
-

THEOREM 19.8

(Erdos
..

Taylor, 1960/A).
A

hm
noo

log
an

2^
k=x

_1_
log Pk

1
=
~

a-5-

*/

A d

o 2.

7T

The next theorem is

analogue
-

of Theorem 13.1. Let d


=

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

whether the series


oo

converges

Now

NON-ACTIVATED VERSION diverges. www.avs4you.com


or we

turn to the

analogue of Theorem
-

11.27.

THEOREM 19.10
visited

(Erdos Taylor, 1960/A).


n.

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(l-1)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)

NON-ACTIVATED VERSION www.avs4you.com


>

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

( log log \ (lognJ


lim

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)

/V log log n^ ~n \T~


/

..

tf

2,

,/ if if

d d

3, 4,

B0.2)

d>5.

Further, the strong law of large numbers


=

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

NON-ACTIVATED VERSION l,2,...,n-l}= P{f@,n 1) P{5n ^ www.avs4you.com 0}. B0.4)


Si fori
=
-

proof of B0.1)

is based

on

the

following:

Remark 2. The left hand side of takes the path to


a new

B0.4)

is the

probability

that the n-th step

point.

Proof of Lemma 20.1.

P{Xn + Xn_! P{X1 + X2 +


y

+
---

Xi+1 ?
n
-

0 for
t

t
=

1,2,...,
,n
-

n
-

1}
0}.

Xn-i ^

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,...,n-l,

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

2 follows from Lemma

19.1, and in the

> 3

it follows from Lemma 16.7. In order to prove

B0.2)
m

we

present
Then

two lemmas.

LEMMA 20.2 Let 1 <

<

n.

Proof.

^ 5m,
5m,

1,..., m

1; Sj ? Sn, j

1,...,

1,..., m 1,..., m

LEMMA 20.3

NON-ACTIVATED VERSION www.avs4you.com


=
-

Sm, i

l}P{5y ^ Sn, j m,..., n 1} 1,... n m} l}P{Sy ^ 5n_m+i, j


=
-

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

and Lemma 20.3 is

proved.

Then

B0.2)

follows from Lemma 20.3 and

B0.1). B0.3)

can

be obtained

by

routine methods.

Donsker and Varadhan

they investigated They proved

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

THEOREM 20.2 For any

u >

0 and d

2,3,...
=

lim n~*+* where

logE(exp(-i/i2(n))

-k{u)

and at is the lowest eigenvalue with zero boundary values.

of 1/2A for the sphere of unit volume in Rd

Remark 3.

In the
we

case

2 Theorem 20.1 claims that


~

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) is typically exp(i/irn/logn).


Compar-

two results it turns out that in the

the very small values of

R(n)
v

asymptotic behaviour of Ee~"^n^ contribute most. This fact is explained by the

following:
LEMMA 20.4 For any

Proof.

NON-ACTIVATED VERSION E(exp(-i/JE(n))) exp(-Cun1/2). www.avs4you.com


>

> 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

Wiener process. Consider the random set

Br{T)=U0<t<T(W{t)+Kr) {x: xe Rd,x W(t)


=
=

for

some

0 < t < T

and

Kr}

where

Kr

{x: \\x\\

<

r}.
are

Br(T)

is called Wiener sausage. The most

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

WmT-lX{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
=

H NON-ACTIVATED VERSION {^Pif (TlogT)/2 www.avs4you.com


2,
d
=

Z,

T*~*/2
r

if

> 4

and

a,/?,7

are

known functions of
are

and d.
to

Clearly B0.5) and B0.6)


one can

strongly related
as

B0.1)

and

B0.3).

In fact

define the random walk sausage

Jk=O

Then Theorem 20.1

implies

lim
N-00

l^-\{Bls){N))=ir2r2 N
=

a.s.

if

and

lim
The

N^XiB^iN))

r27rP{

lim

f@,n)

0}

a.s.

if

> 3.

analogue of B0.7) formulate the following:

is unknown for random walk sausage but

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

suitable normalizing constants.

NON-ACTIVATED VERSION www.avs4you.com

Chapter

21

Selfcrossing
It is easy to
crosses
see

(and
an
=

Theorem 20.1 also


infinite sequence
+

implies)

that the

path of

random walk
1.

itself

infinitely

many times for any d > 1 with

that there exists

such that
we

S(Un)
we

S(Un

{Un,Vn} of Vn),a.nd0<U1<U2<...,{n
occur
=

probability positive integer


=

We

mean

valued r.v.'s
For

l,2,...). However,
a

ask the

example,
n
=

converges to

the

S(Un Vn) S(Un) NON-ACTIVATED VERSION speed infinity A960/B) proposed www.avs4you.com following problems.
ask whether the
we assume

following question: will selfcrossings


crossing that Vn converges
to

after

long time?
occur

will

1,2,... if

infinity

with

great

for every and Un

much slower. In fact Erdos and

Taylor

two

Problem A. Let conditions


ensure common
on

f(n) |

oo

be

positive integer valued function. What

are

the

the rate of increase of

f(n)

which

are

necessary and sufficient to

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

good points: how

there?
as

As far

Problem A is concerned
-

we

have
Let

THEOREM 21.1

(Erdos Taylor, 1960/B).


and

f(n) |

oo

be

positive integer

valued function and let En be the event that

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

(ii) for (iii) for

4, if
on

f(n)

x{n)

depending
d> 5,

whether

E^=i(^xBA:))
sup
m>n
rn

increasing, then we converges or diverges,

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

THEOREM 21.2 number


no

of integers r points in common. Then


d
=

(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)

NON-ACTIVATED VERSION } P{GC)(n) n1/2+e www.avs4you.com


3. For any
e

> 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

of positive numbers with


=

r^

as

>

oo.

Remark 1.

Applying Theorem 21.1 infinitely many n the paths {So, ^i,

for d

4 and

>

Sn}

and

/(n) n {^n, 52n+i,


=

we

find that for


a

have

point

in

common.

This statement is not true for d

> 5.

Our next theorem is

intuitively clear by
-

Remark 1.
For d
=

THEOREM 21.3

(Erdos Taylor, 1960/B, Lawler, 1980).

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

Remark 2. Theorem 21.3 tells


walks in Zd

us

that the

paths

of two

(d

<

4)

cross

each other. It does not

mean

independent random that the particles meet

each other.
One
can
-

Dvoretzky

investigate the selfcrossing of a <i-dimensional 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

THEOREM 21.4 For d < 3 almost all

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

NON-ACTIVATED VERSION /() www.avs4you.com


1. Characterize the set of those functions

for which
=

)||=O

a.s.

(d

4).

2l<u

Chapter

22

Large covered
22.1

balls

Completely covered
Q{r)
=

discs in Z2

We say that the disc

{x

Z\\\x\\
n

<

r)

is covered

{Sk} NON-ACTIVATED VERSION Q{r). ?(x, n) www.avs4you.com


by the random walk
in time if
> 0

for every

Let

R{n)

be the

Recurrence

largest integer for which Q(R(n)) Theorem of Chapter 16 implies that


lim

is covered in time

n.

The

R(n)

oo

a.s.

B2.1)
We prove
For

We

are

interested in the rate of convergence in

B2.1).

THEOREM 22.1
any
s

(Erdos
0
we

Revesz, 1988, Revesz,

1989/A-B, Auer, 1990).

> 0

and C

>

have
exp

B(log nI/2 log3 n)


exp

6 6 e

UUC(i2(n)),
ULC(R(n)), LUC(i2(n)), LLC(i2(n)).

B2.2) B2.3) B2.4) B2.5)

exp

(^^(lognloganI/2)
R(n)
we

(C(lognI/2) exp ((log nI/2(log log n)/2"')


About the limit distribution of
prove

217

218

CHAPTER 22

THEOREM 22.2

(Revesz, 1989/A, 1989/B).

For any

> 0

<
~

limsupP
n-oo

"

>

logM

< exp

\
4

B2.6)

This theorem suggests the

following:
A > 0 such that

Conjecture

1. There exists

logn
Note that
Let
r

>,}p( J
i.e.
<
: n >

we

cannot prove

even

the existence of the limit distribution.

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,

0}}. a(r) P{inf{n ||5n|| r} inf{n NON-ACTIVATED VERSION www.avs4you.com


=

l,Sn

let

p@

~>

x)

P{inf{n : n > l,Sn 0} > inf{n : P{{5rn} reaches x before returning


=

>

l,Sn

x}}

to

0}.

LEMMA 22.1

J|im a(r) log


Proof.

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),

LARGE COVERED BALLS

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.

Remark 1. Lemma 22.1 is

closely related
a

LEMMA 22.2 There exists

positive

constant C such that

for

any

log||x|| NON-ACTIVATED VERSION \\x\\ www.avs4you.com x) ||x|| x) ||x|| limsupp@ p@


x

Z2 with
<

> 2.

Further,

liminf
||x||

12

log

<

/v>

log

<

-.

oo

||x||oo

Proof. Let

||x||e'*\ Then by Lemma 22.1 the probability that the particle crosses the arc ||x||e'* (<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 ||x||e'* (<?> 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

(Spitzer, 1964, p@ ~x)


=

pp.
7T

117,
+

124 and

125).

OA)

..

4lo7H

as

l|x|l^-

LEMMA 22.4 Let

Yi

t{x\pi)-t{x,pi-l)-l

(t

l,2,...)

220

CHAPTER 22

and Zi and

Yi. Then there exists


oo

positive
oo
we

constant C* .such that

for

any 6 > 0

f(n) f

for which n/ f(n)

>

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^ \

B2-10)

NON-ACTIVATED VERSION B2.11) www.avs4you.com


.

B2.9)

combined

imply

Proof. By

simple combinatorial argument (cf.

Theorem

9.7)

we

get

k}

(l-p@-x))fc(p@- x)J (A:


=

0,1,2,...),

0,

and

/xm

EV-

(-1)", +

f; kmp2qk
Jk=O

<

2qk (-l)mq + Ep2qkk{k


Jk=i

l)--'{k

m-l)

{-l)mq

where p

p@

/\>

x)

and ^

p. Hence

|pm| <q

m\pl-mq

(m

LARGE COVERED BALLS

221

Similarly

Kl
Let

\EZ?\

< q +

mlpl-mq

(m

3,4,..

.)

g(z) tp(z)
and

EexpBy1)
\og g{z)

qe~z

P
+

z,

sn=

6o-ln-ll\
we

Then

by

Lemma 22.2 and condition

B2.10)

have

if

is

big enough. Hence

(k

NON-ACTIVATED VERSION www.avs4you.com 3,4,...)


and
2 2
oo

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

Note that the


sequence

is

and

NON-ACTIVATED VERSION k} e-*(-V*P(Z! k) ; www.avs4you.com


{Un}
we

going

on

the

same

line but instead of the

have to

the sequence
=

{U^}

defined
=

by

we

have the lemma.


we

Now

turn to the

proof

of

B2.5).

In fact
e >

we

prove the much

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 one-dimensional analogue of this theorem, cf. Theorem 11.9.
~

Proof of Theorem 22.3.

Clearly
i

i{x,Pn)

y1
=

y2

---

yw

LARGE COVERED BALLS

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.

which, in turn, implies


lim

NON-ACTIVATED VERSION www.avs4you.com


n~>0

sup ||*||<An Pn<m<Pn+l sup

a.s.

Then

replacing

by ^@, N)

and

recalling that

for all but

finitely

many N

(cf.

Theorem

19.4)
we

we

obtain the theorem.

In order to prove few notations. Let

B2.2)

of Theorem 22.1

prove two lemmas and introduce

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

LEMMA 22.5 For any 0

< q < 1

k
+

2,3,...
-

we

have
,xk;

mi(u;n-qn)[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).

In order to present the in the case k 2. That

proof in an intelligible is, we prove


< q < 1
we

we

prove Lemma 22.5 first

LEMMA 22.6 For any 0

have
-

xiqn) +m1(y;qn)
n)
Proof.
<

m2{x,y;qn)\
.

l +

mi(x-y;n)

m2{x,y;n)

NON-ACTIVATED VERSION 1} J(y,n) P{/(x,n) l,/(y,n) | Cx.n) uv}Y{ux uv} www.avs4you.com


= =

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{x-y,n-k)
k=o

Consequently

we

have

(x -y,n)
=
-

1}P

|f:(K U=o

*<i/,)
or
-

(i/,=*<
=

i/,))} J

P{/(x y, n) 1}P{/(*, n) 1 m^x- y;n)[mi{x;n) +m1(y,n)


= =

I(y, n) 1} m2(x, y,n)}

LARGE COVERED BALLS

225

which

implies the

upper part of Lemma 22.6.

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/'

^)

P{/(x y, n gn) l}P{/(x, qn) 1 m^x- y;n-qn)[mx{x;qn) +mi{y;qn)


-

or
-

J(y, gn) 1} m2(x,y;qn)}.


=

Hence

we

have Lemma 22.6.

Proof of Lemma 22.5. Let Pk resp.


integers

Pjk(r)

be the set of permutations of the inte=

1,2,..., k
<

resp.
<

1,2,... ,r-l,r+l,..., k. Further, let A

A(ii,i2,...,ik;j)

{u{Xil)

i/{Xii)

...,

u{xik_l) =j< v{xik)}=

Then

we

have

mk{xi,x2,...,xk;n)

P{/(x!,n)

...

I(xk,n)

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Consequently

m!(v,n)[.M(n)
upper

which

implies the

part of the inequality of Lemma 22.5.

We also have

(U
<

226

CHAPTER 22

r=l

P{/(u,n-gn)
xP

m^u.n- gn)[.M(gn)
oo

(l

k)mk\.
oo

Hence with

we

have Lemma 22.5.


=

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

Then for any

1,2,... there exists


such that N -1 <

sequence X\

Zi(n), x2

x2(n),..., x^

xk{n)

Z2{k

k(n))

Nl~e
Now
we

<

\\xi\\ <N (i \\x{ Xj\\ < N


-

l,2,...,Jk), A < i < j < k).


xk we

formulate

our

LEMMA 22.7 For the above defined X\, x2,...

NON-ACTIVATED VERSION (^^( (^^jj). B2.13) www.avs4you.com


have

Further, if

N{n)
then

exp((log nI/2 log3 n)


i,

and

k{n)

exp((log nI/2) 4e) log3 n).

B2.14) B2.15)

x2,..., xk;

n)

<

exp(-B
we

Proof. By Lemma 22.5 and Theorem 19.3

have

logn

LARGE COVERED BALLS

227

Hence

we

have

B2.13).

If

B2.14)

holds then

logn
< exp

0( logn I
flog")
'

I-B

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,-

NON-ACTIVATED VERSION www.avs4you.com


=

x,(ni+1) (i

1,2,...,

kj+l).

Hence

by

the Borel

Cantelli lemma

a.s.

for all but

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)

In order to prove Theorem 22.4 let

M{n)

exp(C(log n)l'2)

(C

0)

228

CHAPTER 22

and K Then for any n I/if(n) such that


=

K{n)

<T exp

(^-(lognI/2)
a

(C*
=

>

0).
=

1,2,... there exists


M-\<

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

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Hence
we

have Lemma 22.8.

Proof of Theorem 22.4.

Clearly
< mK < exp

P{R{n)

>

exp^QognI/2)}

I-1

which proves Theorem 22.4. Instead of

proving B2.3)

we

prove the

following stronger
<

THEOREM 22.5 For any 0 have


inf I<M) where

< 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"

LARGE COVERED BALLS

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.
'\>

Pi@ Pi(x p2@ p2(x

'\>

'\>

x) 0) x) 0)

inf{n inf{n inf{n

: n >
:

1, Sn

n >

: n >

Pi@ />i@

x}, x), Sn 0} pi@ x) + ^(x 0), 5n


=
-

"^

x), x}
'\>
=

'\>

inf{n : n (Pi@
-

>

~>

x) p^O x) + pi(x
'\>

+
~f

Pi(x 0) 0) + p2{0
'\>

~f

p2@ x), 5n x)),...

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

LEMMA 22.9 For any 0 we have

NON-ACTIVATED VERSION big (tt/120I/2,9/10 www.avs4you.com


< 0 < <

proof

of Theorem 22.5 the

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.

Let q=l (Theorem 2.3) with

p@

/v>

x).

Then
we

applying

Bernstein

inequality

6p

and Lemma 22.2

obtain

|r(( W
n

60log||x|

provided that ||x|| is big enough.


Hence

inf

n-^2T@^x,pn)<l-6}<-pl

inf

r(

^^)

np

60

B2.18)

230

CHAPTER 22

which implies

B2.17).

Proof of Theorem 22.5.

B2.17) clearly implies that inf limmfn/2 x,pn) > r@


~>

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>

>1-S

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

In fact instead of proving

B2.6)

we

prove the
e

following stronger
z

THEOREM 22.6 For any No N0(e,z) such that


=

>

0 and

>

0 there exists

positive integer

P{
if

inf ||i||<exp(e(zlogn)l/2)
<

n >

r@^x,n)>(l-<5)BlognI/2}>exp(-7T2)-e NON-ACTIVATED VERSIONB2.19) N0,0 9/10 (tt/120I/2 www.avs4you.com


0 <

and

<

<52

< 1.

Proof. exists
a

B2.18) imply that for positive integer No No(e,z) such that


Theorem 19.2 and
=

any

> 0

and

>

0 there

P{n~1/2
and
P

inf

||i||<ev^

r@

x,

pn)

< 1

<$}

< e

\pn

< exp

l-J 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)>(l-6)nl'2}-I>{pn>exp(-)} I \zJ J

>

exp(7T2))

exp(-Kz)

2e

LARGE COVERED BALLS

231

if

>

No.
we

Hence

have Theorem 22.6

as

well

as

Theorems 22.1 and 22.2.


x

Theorem 22.3

clearly implies
lim

that for any fixed

Z2

B2-20)
x

It is worthwhile to note that for fixed

in

B2.20)

rate of convergence

can

also be obtained. In fact THEOREM 22.7

we

have

where

a(x)

is

positive

constant

depending only

on x.

Remark 3. Theorem 22.7 and Theorem 19.4 combined imply

presenting the let Hi, H2,... be the local


i.e.

Before

NON-ACTIVATED VERSION ?@, n) following proof www.avs4you.com


lim
=

n-

( log n \(loglognI+ey
time of 0

a.s.

of Theorem 22.7 introduce the

notations:

during the first, second,

...

'\>

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).

Observe that H^ H2,...

are

i.i.d.r.v.'s with distribution


=

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)

z) + pi(z x)+ Pi{x

0)), 0) + p2@

~>

x)

p2(z

~>

0))

Since

S1

s2

...

+
/v>

ST((K.x,n)
x,

<

?@, n)

<

Ex

52

+
we

ST@^
have

and the sequence

r@

n)

takes every

positive integer
=
.
,

imSUP
n-oo

7;r;.

Br@

z,n) log log r@

XjU)I/2

,,

p@

;r
^

a.S.

x)

By the law of large numbers

NON-ACTIVATED VERSION www.avs4you.com


noo

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

find that in Z2 the favourite values

are

also

going

to

infinity.
we

Theorem 22.3 also says that the rate of convergence is not very slow. In fact

get THEOREM 22.8 Let d


=

2 and consider

sequence

{xn} for

which

?(xn, n)

f (n). Then for

any

> 0 we

have
=

liminr
"-<

exp((lognI/2(loglogn)-1/2-)

rj-

>1/,/1:

.,,

oo

a.s.

LARGE COVERED BALLS

233

Remark 5.
sausage

Replacing
one

the random walk in Theorems 22.1 and 22.2

by

Wiener

Br(T)
is to

can

ask whether these theorems remain valid.


r
=

A harder

question

that if rT < and 22.2 cannot be true anymore.

study the case where T~^ogT>>' (with some e

rT

0.

In fact Theorem 17.4

implies
22.1

>

0)

then the

analogues of Theorems

22.2

Discs covered with

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

larger disc. formulate our results, introduce the following notations:


a

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)

the random walk

Our first theorem claims that if

(a

<

1)

or even

NON-ACTIVATED VERSION n). {Sk,0 exp((logn)a) www.avs4you.com exp(logn(loglogn)~2~e) (e 0)


is the

density (relative frequency)


< k <
we

points

of

Q{N)

covered

by

consider the disc of radius


>

of radius

then the

density of

the

covered

points

converges to

one a.s.

In fact

we

have
any
e

THEOREM 22.9

(Auer

Revesz, 1989). For

> 0

=l

a.s.

Proof. Consider

where N Then
=

Nn

exp

by Lemma

22.2

we

have

234

CHAPTER 22

provided that ||x||

<

N. Hence

and

E(l-/(x,pn))<exp(-C(lognI+e),
for any 6 > 0

by

the Markov

inequality
-

P{1
which,
in turn,

K(N,pn) >S}< S-'


-

by Borel

Cantelli lemma implies that

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

by Theorem B2.21) implies


-

for

\im(l
Observe that given the choice of

K(N,m))
and N

=0

a.s.

we

have

and

NON-ACTIVATED (VERSION J www.avs4you.com


\ogm
\
N

log m

6XP

we

obtain

n^

f- limKlexpf-
\

TiT7)'m)=1 ( / \(loglogmJ+/

a-s-

Consequently

we

also have

TS hm K
1-

lg"Wl Iexp ( vAg1gm) v


-:

\
,

rz-r-

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 non-visited points. For example: what is the area of the largest non-visited disc within Q(exp((logn)a))? By non-visited disc we mean a disc having only non-visited points. The following theorem claims that with probability 1 there exists a non-visited disc of radius
Theorem 22.1
we

know that

some

LARGE COVERED BALLS

235

exp((logn)^)
a >

within the disc

Q(exp((logn)a))

for every

/3

<

provided

that

1/2.

Let

Q(u,r)={xZ2,\\x-u\\<r}.
Then
we

have

THEOREM 22.10

(Auer

Revesz, 1989). Let


< a < 1

1/2
Then there exists
a

and

< a.

sequence

of
C

random vectors Ui, u-i,... such that

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

In order to prove Theorem 22.10, first lemmas.

Let N > 0 and ux, u2,..., uk discs

NON-ACTIVATED VERSION Z2(k 1,2,...) www.avs4you.com


we
=

notation and present two

be such points for which the

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

that the discs

Q\,Qi,---,Qk

are

visited

during the first

steps.

LEMMA 22.10 Let

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}.

Hence by Theorem 19.3

mi(Q(u,N);n)

<

fe)
proved.

)r^-{

< 1

C(logn)-'.

Hence Lemma 22.10 is

LEMMA 22.11 Let

(i) (iii)

0 <

< a <

1,

(ii) iV=exp((lognn,

NON-ACTIVATED VERSION \\ui\\<n1"- A 1,2,...,*), exp((logn)a+e) A ||u, tty|| www.avs4you.com k).


=
-

ui, u2,..., ujt

Z2 be

sequence

for which

>

< i <

<

Then

rnk{QuQ2,...,Qk;n) <zxv{-C{logn)a-l
for
a

suitable C > 0 where

Q,

Q(ui,N)

(i

1,2,...,

k).

Proof.

Clearly

<
x

P-fujL^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>

-'Qi-uQi+u

-,Qk;n)

{k

l)mfc(Ql5... ,Qk;n)

x(l-C(logn)a-1)

LARGE COVERED BALLS

237

and

mk{Qi,...,Qk;n)
,Qk]n)
Since
1-a

for any 0 <

< 1

and Jk>lwe have

mk{Q1,...,Qk;n)

by induction

and

we

have Lemma 22.11.

NON-ACTIVATED VERSION (-dlogn)*-1^) www.avs4you.com


mk{Q1,...,Qk;n)
exp
< <

t=2

*/

Remark 1. Lemma 22.11 is

natural

analogue

of Lemmas 22.5 and 22.7.

Proof of Theorem 22.10. Let

1/2
and

< a< a +

<

1,

< a

iV

exp((logn)/?).
Ui, u^,..., uk such that

Then there exist k

k(n)

exp((log n)a) points

||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
=

that with probability 1 at least for all but finitely many j.


Let rij <
n

one

Q,

(i

Cantelli lemma implies 1,2,..., k(rtj)) is not visited till ni


-

< rij+i.

Then with

probability

1 there exists

with

||uj|

<

exp((>
many

l)a+e)

such that the disc


n

Q{u,N)

not visited before


n

if
a

is
=

large enough.

Nj Consequently
=

{N

exp^logn,-)"))
Q(uo,N)
=

is

for all but

finitely
C

there exists

u0

uo(n,uj)

Q(exp(logn)a+2e)
n.

such that

Q(exp(log n)a+3e)
Now
we

is not visited before

consider the density K(N,n) will be investigated and for any 0 < a < 1/2

This proves Theorem 22.10. for even larger N. The case N


we

na

prove that

K(na,n)
<

has

limit

distribution. In fact
THEOREM 22.11 distribution function

we

have
a
=

(Revesz, 1989/A). For any 0 < Ga{x) with Ga@) 0,Ga(l + 0)


=

1/2
oo)

there exists

1 and

limP{K([na],n)
for almost all
At first
we
x.

<

x)

Ga{x)

(-00

< x <

LEMMA 22.12 Let


Then

NON-ACTIVATED VERSION @ 1/2,0 ||x|| na(logn)-^ www.avs4you.com


present
a

few lemmas.
<

<

Cna

< a <

>

0,C

>

1).

Proof. It is

trivial consequence of Theorem 19.3.


x

LEMMA 22.13 Let

and y be two
-

points of Z2
<

such that
a

na(logn)^
Then

<

||x||, ||y||, ||x


lim
noo

y||

Cna

<

<

1/2,0

>

0,C

>

l).

m2{x, y; n)

A
1

2a)
.

Q;

B2.22)

Proof. Lemmas 22.6 and 22.12 imply


-

<

y\

njlm^x; n) + m^y; n)] xy;n)

LARGE COVERED BALLS

239

+ o
1
-

f^) J V log
n
-

B2.23)

Similarly

m2{x,y;n) > mi(x- y\n-qn)[mi(x;qn)

m1(y;gn)

m2{x,y;qn)\

Consequently

H^^).
B2.23)
and

B2.20

B2.24) together imply B2.22).


an

The next lemma is

extension of Lemma 22.13.

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

j 1/2,/? NON-ACTIVATED VERSION www.avs4you.com


0, C
>

1,1

< i <

k.

Then

Proof. Lemmas 22.5 and 22.12 imply


O
mk <
-.

( V
f 1Og"

(
By induction
we

obtain

240

CHAPTER 22

Similarly

rrik >

j-

Consequently

and

by induction

we

obtain Lemma 22.14.

Proof of Theorem 22.11. Let

A(s, n)

be the set of all

possible s-tuples

(xi, x2,...,xs)

of

Q(na)

with the property


na
-.,-.

-,_

Then

NON-ACTIVATED VERSION www.avs4you.com


(X!,a x.)A(t,n) 22.14
we

logn

and

by Lemma
Urn

obtain

E((tf(n",n)n

2a)']& (l
a

(l j)
-

2a

Consequently

we

have Theorem 22.11 with

distribution

Ga(-) satisfying

(z)

2o)'

) 2]
lY1
Ga(l limsupn_>00 K(na,n)
that

Remark 2.
0 <
0 <
a

The above
and
e

equality easily implies

e)
1

<

1 for any

<

a <

1/2 1/2.

>

0 and in turn

a.s.

for any

LARGE COVERED BALLS

241

It is natural to ask the

following
a

Question. Is

it true for any 0 <

<

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

NON-ACTIVATED VERSION Q{u, R*{n)). ?(x, n) www.avs4you.com


=

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

LEMMA 22.15 For any d>3 there exists

positive
=

constant

C& such that


-

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

Remark 1. A somewhat weaker version of Lemma 22.15

was

found

by Erdos

Taylor A960/A).
It is worthwhile to mention the Wiener process.

following analogue of the above lemma for

LEMMA 22.16

(Knight, 1981,

p.

103).

For any d>Z

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,

oo, then this

lemma is

simple

Proof of Lemma 22.15.

Clearly
=

P{Sn
and

x}

f^P{Sk

x,S^x,j

0,1,2,...,k-

n_fc

0}

n=0

NON-ACTIVATED VERSION l}P{5n_fc www.avs4you.com


,y
=

0,1,2,... ,fc

0}

n=0 fc=0

x,S,?x,j

0,1,2,...,k-l}.

n=0

k=0

Since

by Lemma

16.5

n=0

? P{Sn

x}

(Kd

o(l))R2-d (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))R2-d.

we

have the Lemma.


exact form of

Remark 1. For
and Problem 5

B2.28)

see

Spitzer A964),

Pi

(p. 308)

(p. 339).

LARGE COVERED BALLS

243

LEMMA 22.17 For any 0 < a Xy o/ t/ie points of Zd such that


L<

< 1

and L > 0 t/iere eztsts

sequence xi, x2,...,

\\xi\\

<

L + l

(i
=

l,2,...,T),

||xt-x;||
where K
=

>La

{i,j

1,2,...,T;i^j),
d

K(d)

is

positive

constant

depending

on

only.

Proof is trivial.

LEMMA 22.18 Let

Dk+l-Dk
a
=

(Xi

(Xi(k)

where

and

define T Tk and enough we have


=

NON-ACTIVATED VERSION eventually} P{Q@, L) www.avs4you.com eventually} e~^T~x\


x\,X2,...,xt
as

in Lemma 22.17.

Then

for

any L

big

is covered

i,

X2,..

xj

are

covered

<

Proof. Define the sequence au aj,...,^

(k
(t

1,2,...) by 2,3,...,fc).
Dk
-I

Dk+i_Dk+i-i
*
=

Dk+i

Assuming

that

Dk
0 <
we e

Dk-i
<

<

rr-r:

have
0 < c^ < a2 <
...

< ak < 1

(k (i

1,2,...)
1,2,..., k)

and

(o,-+1
=

ai){d

1)

<

Oi{d

2)

where a-k+i 1Let xtl, x,-2,..., x,T be an arbitrary Consider the consecutive distances

permutation of the

sequence x1? x2,..., xy.

244

CHAPTER 22

Assume that among these distances /i resp. l-i resp. and La* resp. La2 and L resp., ..., Lak and 2L.

...

/*

are

lying between

Lai

Then

(by Lemma 22.15)

1,-j, Xi2,..., XiT in this

probability that the random walk visits the points given order is less than or equal to
the

Taking
Lai <

into consideration that the number of those

j's (l

<

j'

<

||x,

i,||
or

<

Lai+l
to

(where

is

fixed element of the sequence

T) for which A,2,..., T))

is less than

equal

we

get

P{xi, X2,...

,xt

are

covered

eventually }
v

NON-ACTIVATED VERSION E www.avs4you.com


I
=

<

Li=l

if L is

big enough and


same

we

have Lemma 22.18.

In the

way

as we

proved Lemma

22.18
u

we can

prove the

following:

LEMMA 22.19 For any L big enough and

Zd
<

we

have

P{Q(u,L)
where

is covered

eventually}

C*Lde-{T-l)

D*
k is
an

-1

d-l

arbitrary positive integer

and C*

C*(d)

is

positive

constant.

Proof of

B2.26).
c e

Let L

[(logn)']

with
I

+{

Dk-l

Yl

LARGE COVERED BALLS

245

Then T >

(log n)^

with

some

t/j
=

> I

and

we

obtain

our

statement

B2.26)

ob-

observing that
fc-00

lim 0k *

j-t-7

(d

2)

e(d

7-7-r + e.
-

1)

In order to prove

B2.27)

we

present

few further lemmas.

LEMMA 22.20 There exists

constant K > 0 such that

,n)
if
n

>

0}

>

(^) R2~d
of Lemma

R=\\x\\

>

KR2 where C& is the

constant

22.15.

Proof. Lemma 16.5

easily implies
KR2
ts

n=l

if K is

implies Lemma
Let

NON-ACTIVATED VERSION www.avs4you.com


big enough, which, together with the method
22.20. of

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

positive probability (depending

n) t/^

is not defined.

However,

have
a

LEMMA 22.21 There exists

constant C > 0 such that

P{ max tb{

<

Proof. that

Clearly for

any C > 0 there exists

constant 0 < p
> p > 0.

p(C)

< 1

such

F{||5T1

Sn||

<

C(logn)^T}

246

CHAPTER 22

Since

\\STl

Sn\\

<

and 0i, 02,

are

i.i.d.r.v.'s

we

have

Y p\ >n""!

for

suitable C

>

0. Hence

we

have Lemma 22.21.

LEMMA 22.22 Let

An

{max 0,;<

C(logn)^}

and

B(n)

Then among the events

Proof is trivial. Proof of

probability finitely B(n) NON-ACTIVATED VERSION www.avs4you.com


only
many will not
occur

with

1.

B2.27).

Let

Zd satisfying the inequality

Then

(by

Lemma

22.20)

;n)^T])-?(z,n)=0}<lHence the conditional

probability (given An) that

is not covered is less than

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

LARGE COVERED BALLS

247

This fact

together with Lemma


us

22.22 proves

B2.27).
n

Theorem 22.12 tells


covers

that the

path

of the random walk in its first

steps
are

relatively big located in Zd. For example


r.v.
u
=

balls. It is natural to ask where these


we

big

covered balls

might

ask about the radius of the

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.

which there exists


is covered

by

the

random walk

J(x)
As
a

1 for any

Q(u,p(n)).
we

trivial consequence of Theorems 22.12 and 18.5

obtain

THEOREM 22.13 For any

big enough, d>3 and


<

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
=

NON-ACTIVATED VERSION investigated. origin) www.avs4you.com


was

2 too but

nothing

is

Clearly the latter question known about this problem.

can

be studied in the

case

Remark 3. Applying Theorem 7.1 obtain that

(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

somewhat weaker statement than

some sense

bit

more

than

B2.27).

In fact

we can

B2.27) but in obtain (by Theorem

7.1)

that:

for any n such that the

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/*.

favourite value and the largest covered ball. For

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

present the following:


e

THEOREM 22.14 For any


lim

> 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

NON-ACTIVATED VERSIONB2.29) (n l,2,...). www.avs4you.com


>-7
=

"i(e,6)

< 1

such that

Consider the points n0


-

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

Theorems 22.9, 22.11 and Remark 2 of Section 22.2.

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}.

Introduce also the following notations:


if

NON-ACTIVATED VERSION ?(*,") j(\-f www.avs4you.com [1


=0 for every
n
=

0,1,2,...,

'

otherwise

and
zZ{R) i.e.

J(x)

1 if

of points of Z(R) 0(R) I have the following:

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

1. For any d > 3 there exists

distribution function

H(x)

Hd{x)

H@)

=0 and

lim P
o

(^ x\
<

H{x)

(-00

<

<

oo).

Unfortunately
Wiener process we introduce the
a

I cannot settle this


can

be solved. In

conjecture but the analogous question for order to present the corresponding theorem
be
a

following

notations. Wiener process.

Let

W(t)

{W^t), W2{t),... ,Wd{t)} {d > 3)


249

250

CHAPTER 23

Definition.
the

W(t)

is

crossing the sphere {x


=

\\x\\

R}
=

0(R)
<

times if
=

ft

largest integer for which there exists a 02{R)... a2{R) < ft ft(JK) < a2
=

random sequence 0 < o^


< a9

ae{R)

0e

6(R) is ax (R) < 06{R) < oo

such that

\\W(t)\\

<R

if

t < au

\\W{ai)\\=RtR-l<\\W{t)\\<R+l if ^ <*</?!, \\W{0l)\\=R-lorR + l,\\W(t)\\^R if ft < t < a,, R, R-l< \\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, R-K\\W{t)\\ <R+l if a0<t<00, \\W@9)\\ =R + l\\W(t)\\>R if t>09.
=

F(R))~l

will be called the

speed of

escape in R.

THEOREM 23.1

(Revesz, 1989/A).

The

-> NON-ACTIVATED VERSION <} www.avs4you.com


-'

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)\\

R-l}

>

mf{s

: s

>

t,

\\W{s)\\

R+l}.

Remark 1. Note that the last formula for


Lemma 22.16
2
=

p(R)

comes

from Lemma 17.1. By

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-

(-=

\d-t\

\d~2
d-2-\

)+P(R)[~?7i

PWi1

where

q(R)

p{R)- Similarly

PF(r)

k)

i-a\ *-i

\k-\ =AA-A)'

Hence

Observe that

NON-ACTIVATED VERSION I www.avs4you.com p(/2)(rf 2) A jL)--* p(R)


we

have Lemma 23.1.

"

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

question is affirmative. In fact


we

we

much stronger

theorem. In order to formulate this theorem


Definition.

introduce the

following
a

Let

ijj(R)
<

integer

u(R)

be the largest integer for which there exists R such that

positive

6(k)

for any

< k <

tp(R). (u,u
+

It is natural to say that the maximal.

speed

of escape in the interval

i/j(R))

is

252

CHAPTER 23

THEOREM 23.2
,.
.

tp{R)
Proof. Let

>

log log R log 2

t.o. a.s.

f[R)A(R)
and
=

log 2

'

{6{k)

1 for every R < k < R +

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)})

d-2 2R

and

NON-ACTIVATED VERSION www.avs4you.com


logi? logii! log 2
=

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

and for any

e >

0 if

is

big enough

we

have

iEl

5_r!?t!1L|I 2
'

hS))<(^-=| V
/

(loglognJ(l+?)

log

which

implies Theorem
2.

23.2

by

Borel

Cantelli lemma.

Conjecture

hm
tf-oo

:7

a.s.

log log it

log 2
=

Theorem 23.2
can

clearly implies
answer

that

0(R)

1 i.o.

a.s.

It is natural to ask: how

big

6(R)

be? An

to this

question

is

SPEED OF ESCAPE

253

THEOREM 23.3 For any

e >

we

have

6{R)
if
R is

<

2(d-2)-1{l+e)R\ogR

a.s.

big enough and

9{R)
omit it.

>

e)R log log log R


possible

i.o.
one

a.s.

Since this result is far from the best

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

positive probability. Investigating the


=

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

We may ask Lemma 22.1 we obtain

Lemma 17.1 suggests that the before visiting is


~

NON-ACTIVATED VERSION Z(R-l) www.avs4you.com T,xez{R) {xiPi Z(R) O(R~l(log R)~l).


probability of returning to the origin from Hence we conjecture that
for

O(R);

example,

0(R)

as

\xZ(R) for any d


>

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

domain in R2 which is bounded

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)

NON-ACTIVATED VERSION www.avs4you.com


on

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

THEOREM 24.1 The function

u(z)
is the solution

Ef(cz)

of the Dirichlet problem.


255

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
...

<

< anr, <

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),

a,- > or,

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

NON-ACTIVATED VERSION B) A) www.avs4you.com /,.()


a

For any e > 0 there exists where zuz2 ArZ2. Now


we

> 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

Let az be the first exit time of


az

S,W

from

Ur,

min{n : 5^

Ar}.

We wish to prove that

(*)

E/EW)
problem, meaning
that

is the solution of the discrete Dirichlet

(i) (ii)

is "continuous"

on

such that if zuz2


u

(Ur + Ar)Z2, i.e. for any e > 0 there exists a 6 > 0 (Ur + Ar)Z2 and ||zi-Z2|| < ^", then |uBx) -u(z2)\ < ?,

agrees with

on

ArZ2,

A FEW FURTHER PROBLEMS

257

(iii)

satisfies the

Laplace equation,

i.e.
-

(u(x
+

1,

y)

(u{x, y
+

2u(x, y) + u{x 1, y)) 1) 2u(x, y) + u(x, y 1))


-

whenever

(x, y), (x (iii)

1,

y), (x, y

1), (x

1,

y), (x, y

1)

<E

(tfr

Ar)Z2.

(ii)

is trivial,

follows from the trivial observation that

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)

satisfies the condition of


we

In order to prove

present

simple
a

LEMMA 24.1 For any

e >

0 there exists

> 0

suc/i t/iat

if

zeUrZ\
then

qeArZ2,

\\z-q\\<6r

NON-ACTIVATED VERSION Consequently www.avs4you.com \Ef(S{M)M)-f(q)\<e\


simple
and is omitted. In order to prove

Proof is

(i)

we

have to

investigate

two

cases:

(a) zuz2eUrZ\

(/?)
In

one

of zi, z2 is

an

element of

ArZ2

and the other

one

is

an

element of

UrZ2.

case

(/?)

our

statements

immediately follow

from Lemma 23.1. In

case

(a)

assume

that oZl < aZ2 and observe that

Since
and
z

S(*2V*J S^tM2)^'^(<rs^){OMi)) obtain (i). S^(aZl)


=
=

applying Lemma 23.1 with

we

Remark 1.

Having
get
in

the above result


a
a

on

the solution of the discrete Dirichlet

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

in zq till the exit time aZn and repeat this

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

sequence of random subsets of

Z2 defined

as

follows:

Ax consists of the origin, i.e. A\ A2


=

{0},
boundary
of

obtained

performs
The

NON-ACTIVATED VERSION following www.avs4you.com


A\
+ y2 where y2 is
an

element of the

At

by
a

the

chance mechanism.

random walk

on

Z2. Then

y2 is

particle is released at oo and the position where the random walk


A
as

first hits the

boundary of Ax. boundary of a set A C Z2


=

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
= =

yn+i is the very clear.

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

A FEW FURTHER PROBLEMS

259

by

the fact that simulations show that it mimicks several

physical phenomena

well.

The most interesting concrete "radius"


rn
=

problem
:

is to

investigate the behaviour of the

max{||x||

x?

An}.

Trivially
fact
we

rn >

(m/ttI/2
Only
a

lower bound. have

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

constant C > 0 such that

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}< Cr-W. B4.2) NON-ACTIVATED VERSION www.avs4you.com probability A989) B4.2) P{yn+i
=

In order to get

lower estimate of rn we should get at least for some y G dAn. Auer

lower estimate of the

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

Consider Z2 and "closed" with


open

that each bond

(edge)

is

path

is

probability 1 p. All bonds are a path on Z2 all of whose edges are

"open" with probability p and independent of each other. An


open.

One of the main

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 so-called 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

is called the critical value of the bond

where x0 is the root

0*(p) xAQ NON-ACTIVATED VERSION www.avs4you.com


=

0 if p <

0,503478

lying

between 0 and 1 of the

polynomial

We call the attention of the reader to the recent survey of Kesten

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

signs and for years."

seasons

and for

days and

The First Book of Moses

III. RANDOM WALK IN RANDOM

NON-ACTIVATED VERSION ENVIRONMENT www.avs4you.com

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

called environment. Introduction.

j^n^T^Pe},^?,?};

3.

4.

5.

NON-ACTIVATED VERSION www.avs4you.com


0 1

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

Tn_2)) + expHT,,.! To)) D{n)e-T"-> (n


=

rn_3)) + 1,2,...).

263

264

III RANDOM WALK IN RANDOM ENVIRONMENT

7.

(n
8.

1,2,...).

Caution:

D{n)

D{0,n); however, D(-n) ? D(-n,O).


i.e.

I(t)

is the inverse function of

D(n),

I[t) I{-t)
9.

k if

=ki(

D{k) <t<D{k + 1), D{-k) < t < D(-k 1) (t


-

>

1; k

1,2,...).
see

Rq, Ru

...

is

random walk in random environment

(RWIRE);

Intro-

Introduction.
10.

p(a, 6, c);

see

Lemma 27.1.

NON-ACTIVATED VERSION www.avs4you.com

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 (non-random)
We meet
new

environment.

difficulties when the environment is


when the motion of
a a

case, for

example,

particle

in

non-homogeneous. It is the a magnetic field is investigated.


a

by NON-ACTIVATED VERSION special following www.avs4you.com


In this
case we

consider

random environment instead of of

deterministic

one.

This situation
At first

can

be described

different mathematical models.


case our

we

formulate only

model.

It is

given

in the

two

steps:

Step

1.

(The

Lord creates the


a a

line and tosses

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

={..., ?_2, E-i, Eo, Ei, ?2,


according
the result of the

}
made in
t.

Tail

experiment

Step

2.

(The

life of the universe after the Sixth

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

{..., E-2, E-i, Eo, Ei, E2,...}

the sequence in the origin and gives

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 left with

The

general form of

our

model

can

be described
a

as

follows:

Step

1.

(The

Lord creates the

universe). Having
265

sequence

266

CHAPTER 25

{..., E-2, E-i,E0, Ei, E2,...}


<x}
=

of i.i.d.r.v.'s with distribution


=

F{x), F@)

0,

the Lord creates

{..., E-2, E-\, EQ, letter ?.) This realization


Step
2.

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

life of the universe after the Sixth

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!

i,Rn-i, Rn-2, ...,Ri)

Ei.

B5.1)

The sequence
A
more
a

{J?n}

is called

random walk in RE

(RWIRE).
Let

be

following. description {ftl5 NON-ACTIVATED VERSION/i,Pi} probability www.avs4you.com


mathematical
of this model is the
space and let
=

{...E-t
[ux o).
e

E.2{ui),E-i
a

E-i{ui),E0

E0{ui),Ei
Pi(#i
<

El{ul),E2

nx)

be

sequence of i.i.d.r.v.'s with

x)

F{x){F@)

l-F(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 er-algebra. 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

J the natural way.


the sequence

Our aim is to
meet two

study the properties of types of questions.

{Rn}-

In this

study

we

(i) Question

words, particle in the future, {Rn} given ?.

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

THEOREM 25.2 There exist two deterministic sequences


<
a.s.

for

all but

Having inequalities his question:

c^ </^ </<2> a<2> B5.3) NON-ACTIVATED (Pl) VERSION finitely www.avs4you.com following physicist B5.2) B5.3)
many
n.

a^

<

a^

such that

and

the

gets the

answer

to

THEOREM 25.3 There exist two deterministic sequences

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\

a^] for all but finitely many n)

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

In the first six

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

conditions will be assumed:


a

(C.I) (C2)

there exists

0 <

<

1/2

such that

P(/?

<

Eo

< 1

/?)

1,

where

NON-ACTIVATED VERSION f xdP^Vo x) I' "log--dF{x) www.avs4you.com (l Eo)/Eo, F{x) P^Eq x),V0 \ogU0
EiV0
= =

<

y-oo

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

(i.e. Pi(i?o 1/2) consequently (C.l) and (C.2)


= =

1)

are

satisfied; however, (C.3)


that if

is not satisfied since

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

much weaker condition

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

liminf T_n n^00

;=

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...Un-l=e + eT>+eT*

---

eT"->, B6.4)

B6.3)

NON-ACTIVATED VERSION B6.4) www.avs4you.com exp( nexp( Tk) D(n) Tk)


follows from Lemma 26.1.
we

By

have

max 0<Jk<n-l

<

<

^VO<Jk<n-l

max

B6.5) V ;

and the LIL

implies
e

LEMMA 26.3 For any


max

> 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)

<

exp{(l + er)crBnloglognI/2} a.5. (P^ for all but finitely

many n,

B6.10)

IN THE FIRST SIX DAYS

271

D{n) >exp{(l-e)erBnloglognI/2}

i.o.

a.s.

(Pi),
a.s.

B6.11) B6.12)

D{n) <exp{n1/2(lognloglogn--logpn)} D{n)


>

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.

B6.14) (Pj, B6.15) B6.16)

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.

Inequalities B6.6) analogue of B6.5),


-

NON-ACTIVATED VERSION -^min_i(rn_i Tk)) D*{n) nexp(-^min_i(rn_i Tk)), B6.18) www.avs4you.com


-

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}-

Hence the LIL and the

LEMMA 26.4 For any

> 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|

logp_1 |i|(logp |i|I+eJ


big enough,

is
-

logp |t|J

t.o.a.s.

(Px),

B6.19) B6.20) B6-21)

*"

(Pi)'

/@>19iglOglll log \t\


2G

a-5"

(Pi) * \t\is big enough.

B6.22)

272

CHAPTER 26

Proof.

B6.19), B6.20), B6.21) B6.11) resp. B6.10).

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

NON-ACTIVATED VERSION B6.23) B6.23), B6.24), B6.25) imply B6.25) www.avs4you.com


combined
and

This, in turn, implies B6.26). B6.27) follows from (C.l). B6.28) follows from

B6.23)

B6.27).

Chapter

27

After the sixth

day
theorem of Solomon
conditions

27.1

The

recurrence

THEOREM 27.1
we

(Solomon, 1975). Assuming


=

(C.I), (C.2), (C.3)


1.

have

Assuming (C.I), (C.3)

NON-ACTIVATED VERSION www.avs4you.com


and EiV0

P{Rn

t.O.}

Pl{P?{i*n
0
we

t.O.}

1}

have

Remark 1. The statement of the above Theorem with


1

can

be formulated

as

follows:
recur-

probability

(Pi)

the Lord creates such

an

environment in which the

recurrence

theorem is true, i.e. the particle returns to the (Pf). Before the proof of Theorem 27.1 we present

origin i.o. with probability an analogue of Lemma 3.1.

LEMMA 27.1 Let

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

the environment S. Then

Especially

p(O,l,n)

1--r-

and

D(n)
273

; p(O,n-l,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, b-l,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)

UbUb-i

UbUb.x
6
=

Ua+l{p(a, a + 1, c) C7a+I(p(a, a + 1, c)
c

p(a, a, c)) 1). B7.1)

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

NON-ACTIVATED VERSION *a>a+l>c)rl-Dh)B7.2) B7.1) www.avs4you.com


and

B7-2)

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

have the Lemma.


1.

Consequence

p(ll

p@,l,*;?) =nlim

A-^=1)
=

1,

B7.3) B7.4)

P{limp(-n,-l,0;?)

0}

1.

AFTER THE SIXTH DAY

275

B7.3)

follows from Lemma 27.1 and

B6.3).

In order to

see

B7.4)

observe

(-n,-l)

and

apply B6.13) for D(-n). The following lemma is a trivial analogue of

Lemma 3.2; the

proof will be

omitted. LEMMA 27.2 For any


-oo

<

<

b <

oo

we

have

P{liminf Rn
noo

a}

PllimsupiZn
Rx

6}

0.

Proof of Theorem 27.1. Assume that

1, say. Then by Lemma 27.2 the

particle

returnes to 0

or

it is

going
=

to +oo before

returning. However, by B7.3)


=

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

NON-ACTIVATED VERSION 27.2 Guess how far the particle is going away www.avs4you.com in RE
an

for any

> 0

which proves the Theorem.

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

reasonable guess will be

given.
environment when

Consider the

simple

Note that conditions environment ? walk is the


=

(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

simple symmetric random


=

walk. For

example,

it

is trivial to prove that

lim sup bnM(n)


n*oo

a.s.

if ? is the given environment and bn


One
can

Bnloglogn)~1/2.
{..., 3/4,1/4,3/4,1/4,...}
is

guess that since environment

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

NON-ACTIVATED VERSION n1/2 n1/2 www.avs4you.com


our

environment

max

l<Jfe<n

Tk

and

min

l<*<

T-k

which is

typical situation. Then by

B6.10), B6.11)
1
-

and Lemma 27.1

we

have

p@,1, n)
and

-pJ"

exp(-n1/2)

p(-n,-1,0)
This
means

that the

particle

will return to the

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.

exp(n1/2) times before least exp(n1/2) steps. Conversely,


origin

AFTER THE SIXTH DAY

277

27.3

prediction of the Lord


we

LEMMA 27.3 For any environment ?

have

TE{u{n)

k}

fyEfr

E0)n-k,
.-

B7.5) (P.) B7.6)

limsup,o
where un is

rj^f0}

u/2=l

defined

in Section 27.2.

Proof is trivial.

LEMMA 27.4 For any environment ? and k

1,2,...

we

have

"

) <k\yn}

(p@, L

?( NON-ACTIVATED VERSION www.avs4you.com


W <*}=
Proof is trivial. Now
we

prove

our

THEOREM 27.2 For any environment ?

we

have
a.s. a.s.

<M+(pn) </(n(lognI+e) < M-{pn) < 7(-n(lognI+e)

(P?), (P?),

B7.9) B7.10)

<

max{/(n(logn)-1-e),/(-n(logn)-1-e)} < M(pn) max{/(n(lognI+e),/(-n(lognI+e)} a.s. (P?)


many
n.

B7.11)

for all but finitely


Proof.

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

2k. Then by the Borel

Cantelli lemma

we

(cf. B6.16))

a.s.

for all but

finitely
<

many k. If nk <
<

< nk+1 we

have

M+(pn)

M+(pnk+i)
/

<

fn(lognI+eJ
B6.26)

a.s.

(P^)

for all but finitely many

Hence

have the upper part of B7.9). Now we turn to the proof of the other
we

inequality of B7.9).

By Lemma

NON-ACTIVATED VERSION www.avs4you.com


we

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 ?@,

(resp. M+(n),M~(n)) the Lord is n). To study this problem in a more


the behaviour of the local time

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)

AFTER THE SIXTH DAY

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,

E0(l-Ek) / Ek) ( I>(ik)I>*(ik) V


A trivial calculation

l-^A'
1-

!>*(*)

gives
-

LEMMA 27.6

(Csorgo

Horvath

Revesz, 1987). For

any k

1,2,...

B7'12)

NON-ACTIVATED VERSION www.avs4you.com


/or
any A <
-

log(l

^J).

Especially

^l-e*(l-2A)
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

that: for any

> 0

mk >

-J exp((l

e)crBJkloglogikI/2)

i.o.

a.s.

and

mk<

l--^-exv{-{l-e)o{2k\og\ogkI/2)
=

i.o.

a.s.

Compare these inequalities and (9.6).


LEMMA 27.7 For any A;

1,2,... and any environment ?

we

have

nm
-

U(k,Pn)-nmk y/nak \
ak y/2n

<

J
i
a.5.

limsup
n-*oo

^P^^ log log


n

(p?).

B7.18)

Proof is trivial. Now


we

LEMMA 27.8

NON-ACTIVATEDB7.14). VERSION www.avs4you.com (Csorgo 1987).


give
a

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.

Proof. By Taylor expansion

we

get
1

eA

D*{k)

D(k)h(X)

(D(k)h(X)J

n(D(k)h(X)K)

AFTER THE SIXTH DAY

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) \l-E
Multiplying
the above

inequality by
=

exp(-Amfc)
one

Xmk

m\+r)rn\-

A2

A3

gets the Lemma.

LEMMA 27.9 Let

NON-ACTIVATED VERSION www.avs4you.com fmin|v^,-v^logfl--^


0<x<ak
=

Then for any k

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

have the Lemma.

This last

inequality gives
where k
can

very

sharp

result for

?(fc, pn)
to

when k is not too

big. In

cases

be very
prove

big it is worthwhile

give

another consequence

of Lemma 27.6. In fact

we

CHAPTER 27

LEMMA 27.10 For any K> 0 there exists aC

C{K)

> 0

such that

C\ognD*{k)}<n-K

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

NON-ACTIVATED VERSION B7.20) www.avs4you.com (>

(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

AFTER THE SIXTH DAY

283

Hence
An

we

have

B7.20).
result describes the behaviour of

analogue

?(A:,pi)

when A: is

big positive

number.

LEMMA 27.12 There exist

positive

constants C and
>

C\ such that
<

??{Z{k,Pi)
and

>

CxD*{k)\ogk | ?(*,Pi) i)
>

0}
<

Cxk-2

B7.21) B7.22)

0}

CAT2.

Proof. Let fj.k be the number of


P\.

negative

excursions away from k between 0 and

Clearly,

we

have

Pi)
Consequently

>

0}

p@,k- l,*)(l

p@,*

I,*)I

Hence

NON-ACTIVATED VERSION 0} P,{m* k^D^k) \ Z(k,Pl) 0} www.avs4you.com A [Dt{k))-1)k"D'^


< < >
=

P?{nk

> L

| e(*,Pi)

>

0}

(D'ik))-1I-.

B7.23)

<

Ck~2
e

and

we

have

there exists

B7.22). In order to prove B7.21) a C2 C2{6) > 0 such that


=

observe that for any 0 < 6 <

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}

which proves B7.21). In the following lemma we investigate the


is very small.

probability of the event

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,
+ ?n-i.

otherwise,
=

Srt

fo + ?i +

---

Then

and by the Bernstein

NON-ACTIVATED VERSION (Theorem 2.3) www.avs4you.com


pas
=

i}

?o(i-p(o,i

inequality

Let 1 < ti <

i2

<

...

<

is

<

be the sequence of those t's for which


max

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

(l-q)m-lq,
-

(l

using again the Bernstein

inequality

we

obtain

AFTER THE SIXTH DAY

285

Hence
~

< -nmk

+ v~ < -nmk, S < + v~ < -nmk, S >

-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.

THEOREM 27.3 For any

e >

0 and

for

all but

finitely

many

we

have

where C is

(Pf) B7.24) j^ NON-ACTIVATED ?>*(fc) VERSION positive www.avs4you.com


Clogn
a.5.

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
-

Cantelli lemma imply

I(n(logn)l+*)

Clogn
k=0 Jk=O

^
Jk=O

D*{k).

Analogous inequality

can

be obtained for

A somewhat weaker but

negative fc's. Hence we have B7.24). simpler upper bound of pn is given in the following:
e >

THEOREM 27.4 For any

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

By B7.12), B6.23) and (C.l) of Chapter 26 for

any 0 < k <

/(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

have the Theorem.

A lower bound for pn is the

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

NON-ACTIVATED VERSION B7.25) www.avs4you.com


pn >
max

follows by Lemma 27.13.

Remark 2. Remark 1

easily implies

that
=

lim maxmjk Hence of pn

oo a.s.

(Pi).
inequality
pn > In.

B7.25)
of

is much stronger than the trivial

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

and the upper bound be obtained. In fact we have

B7.11)

M(pn)

B7.24)

of pn

lower bound of

M(n)

can

THEOREM 27.6 Let

ft{n) f;{n)
g(n)
hln) v '

max{/(n(lognI+<),/(-n(lognI+)}, max{/(n(logn)-1-e),/(-n(logn)-1-e)},
/(n(logn)'+<)

n(lognJ+<

?
Jk=-/(-n(lognI+)

AFTER THE SIXTH DAY

287

Then

for all

but

finitely

many

f:(g-lH)<M(n)<f?(h-l(n))
where

a.s.

(P,)
resp.

B7.26)
h(-).

g~l{-)

resp.

h~l(-)

are

the inverse

functions of g()

Proof. Theorems 27.2 and 27.4 combined imply

/;
27.2 and 27.5

<

M(pn)

<

M(</(n)),

which, in turn, implies the lower inequality of B7.26). Similarly by Theorems


we

get

and

we

have the upper

f?(n)>M(pn)>M(h(n)) inequality of B7.26).

Remark 3. Note that knowing the environment ? the lower and upper bounds of B7.26) can be evaluated.

27.4

Having Theorem

NON-ACTIVATED VERSION physicist www.avs4you.com


27.2 and Lemma 26.4 the
can

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

Revesz, 1986). For

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.

>

(lognloglogn--logp_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

for all but

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

NON-ACTIVATED VERSION 1986). (Deheuvels www.avs4you.com


-

get

Revesz,

For any

> 0 and p

1,2,...

M+(n) <(lognloglogn---logp_1n(logpnI+'J
if
and
n

a.s.

(P) B7.32)

is

big enough,

The

same

inequalities

hold

for M~(n) and M(n).


and

To get
a

lower bound for

M+(n),M~(n)
we

M(n)

is not

so

easy.

However,

as

consequence of Theorem 27.6

prove
any
e

THEOREM 27.9

(Deheuvels

Revesz, 1986). For

> 0

we

have

for

any

> 0 and

for all

but

finitely

many

n.

The

same

inequality holds for

Af-(n) andM{n).

AFTER THE SIXTH DAY

289

Proof. Let
+

0+(n)=n(logn)a+*
Then by Condition

?
Jk=O

mk.

(C.I), B7.12), B6.19)

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

similarly that for

any

> 0

for all but

NON-ACTIVATED VERSION finitely Consequently www.avs4you.com B7'37) (Pl) ^)


many
n.
a"

g{n) <exp(logn(loglognI+e)

a.s.

(Px)

B7.36)

if

is

big enough. Hence by B6.22)

B7.26)

and

B7.38)

combined

imply

the Theorem.

Chapter
What

28

can a

physicist

say about the

local time

?@,n)?
on

28.1

Two further lemmas


we

the environment

In this section
results
are

LEMMA 28.1 For any 0


sequence

NON-ACTIVATED VERSION e/2 www.avs4you.com n2(oJi; ?,6) n1(u;1; 6)


simple
consequences
< e <

study

few further

properties of the environment ?. These of the corresponding results of Part I.


1 and 0 < 6 <
e,
< n2
=

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.

LEMMA 28.2 There exist

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

Consequently by B6.5) and B6.18)

D{nk)
max

> exp

(C7b-l)

and

o<.<y<nt

D*{j) wy

< exp *

\CX \~^ \ loglognjk \

)/

B8.4)

'

Proof.
2.

B8.3)

is

simple

consequence of Theorem 10.5 and Invariance

Principle

28.2
Since

On the local time


=

f @, n)

?{Q,pn)

Theorem 27.4 and


e

B7.36) imply
have

THEOREM 28.1 For any

> 0

we

>n)
i.e.

<

?@,exp(logn(loglognI+e))

for

all but
we

NON-ACTIVATED VERSION B80!) ('^.) (P) www.avs4you.com


a,.

finitely

many N.

Now

prove that

B8.5)

is

nearly the best possible result. In fact


e

we

have

THEOREM 28.2 For any

> 0

'^,)
Proof.

,-.......

(P).
let

B8.6)

Define the random sequence


for which

{Nk}

as

follows:

Nk be the largest

integer
where

nk

is the random sequence of Lemma 28.1. Then


>

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,

<j =j{k) by B7.22)

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))

n-k2D*{nk)}

<

Cn~k\

WHAT CAN A PHYSICIST SAY ABO UT f @,

n) ?

293

and by

B8.2)

and the Borel


>

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
>

pNk > P,-+i

Pj >

?K, (p,-,P,-+i))

exp((l

e)ab-lk)

a.s.

(P)

B8.7)

for all k big

enough. By B6.23) and B8.2)


<

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

any 6* < 1 and for all but


a.s.

PNk>exp(\ogNk{\og\ogNkY')
B8.9)
we we

(P).
be.

B8.9)

in turn

Theorems 28.1 and 28.2 have shown how small


found that
can

investigate the question of how big

NON-ACTIVATED ?@, N) VERSION Essentially N1/Xo*XogN. ?@,iV) ?@, N) www.avs4you.com


implies
Theorem 28.2.
can

be

as

small

as

In the next two theorems


we

can

be. In fact

prove

THEOREM 28.3 There exists aC

C(f3)

> 0

such that

^@, N)
where

> exp

( (l

^-j^J Nj
log

i.o.

a.s.

(P)

C is defined in condition (C.I).

Proof. By

B7.12)

we

have

Eo

D(j)

D(j)
a

B8-10)
=

Hence

by Lemma

27.10 for any K > 0 there exists


>

C(K)

> 0 such that

n)

CnD'U)} <n~K {j {Nk}


as

1,2...
let

,n

1,2,...).

B8.11)

Define the random sequence integer for which

follows:

Nk be the smallest positive

>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

(C2b-nl)

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)

for all but

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)

for any K > 0 there exists

C(K)

> 0

Hence

^-^Nk-. )J NON-ACTIVATED VERSION


*(j)
<

nkNkK

<

B8.15)
we

by the Borel

www.avs4you.com
<

Cantelli lemma,

B8.13), B8.14), B8.15)

and

B8.4)

get

CNknkexV
C
%r

L fp-^-H 7* 7*^ ^ VloglognJ J C\ \og3Nk


x

<

log2 Nk

Nexv{)
for all but

(d \ogNk\

finitely

many k. Since similar


=

inequality
we

can

be obtained for the

sum

Ef=i Z{-J,PNk)

and for 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

WHAT CAN A PHYSICIST SAY ABOUT

?@, n) ?
for all
e

295

THEOREM 28.4 For almost all environment ? and

> 0

and C

big

enough

there exist two random sequences


nx
=

of positive integers
and
<
...

mx

n\{?,e) < n2 n2(?,e)... mx(?,C) < m2 m2(?,C)


= =

such that

?@,nfc) <exp
and

,,)>
Remark 1. Theorems 28.1
-

op

((l-j^Jlogm,).
as we

However, Theorem

28.4

can

call them, theorems of the be considered as a theorem of the Lord.


28.3 are,
can

physicist. Knowing

the environment ? the Lord

big or points

find the time-points 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

the location of these


to n, i.e.

In the last theorem of this

THEOREM 28.5 For any C

NON-ACTIVATED?@, n) VERSION possible www.avs4you.com


points. chapter
> 0
we

prove that

cannot be very close

Theorem 28.4 is not far from the best


we

one.

have

?@, n)
for all but finitely
many
n

<

exp((l

6n) log n)

a.s.

(P)

where

Proof. Introduce the

following

notations:

M+{pi,Pj+i)
tfj*(N)
Note that

max

Rk
:

G
n

1,2,...),

max{n
5.8

0 <

<

N,T{n)

-cri;1}, n),Af+(p,-_1,p,-) > x}.


<

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

and for all but

finitely

many

n.

Hence by Lemma 27.1,

B6.5)

and

B8.16)
>

nexp(
=

Consequently if

C is

big enough then for

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

Lemma 27.1 and the definition of

obtain

-O
Hence
n

< exp

(-|
B8.18)
we

NON-ACTIVATED VERSION ^j www.avs4you.com


by
Lemma 27.1,

B8.17)

and

get

(JV)
Applying Theorem
5.3
we

l))))

B8.19)

obtain

for all but


n

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)

for all but

where

Hence

we

have Theorem 28.5.

Remark 2. Since

there is

an

essential gap between the statements of Theorems 28.3 and 28.5.

Chapter

29

On the favourite value of the RWIRE

In this

chapter

we

investigate the properties of the


be obtained
as a

sequence

?(n)

max*

?(k, n).

A trivial result

can

Consequence of B7.32). For

any

> 0

we

have

We also get

Consequence of

(P). B9.1) NON-ACTIVATED VERSION www.avs4you.com B7.33).


a.s.

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

limsupn-1^(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

replacing condition B9.3) B9.3) implies (C.I), (C.2)


positive integer,

(C.3).
we

At first

introduce

few notations. Let N be

and define the random variables

on

p+{N) p-(N) /4A

min{k :k>0,Tk AiV}, min{k :k>0,T.k -AiV}, -minlr* : 0 < k < pt{N)}, max{r_fc : 0 < k < p
= =

For the sake of

simplicity

from

now on we assume

that

n%

>

/i^. Continue the

definitions
aN
_

NON-ACTIVATED VERSION pf{N),Tk -/iNA}, max{Jfc f maxjifc AiV} www.avs4you.com AiV} max{k
as
=

follows:
:

0 < k <
: :

0 < k < aN,

Tk

fxNA
=

if such

exists,

k <

0, -Tk

+ fxN A

otherwise,

LN(j)

<k<pt{N),Tk + nNA AiV}, L(-A(fMN-j),(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

min{k min{k rain{k


from

: : :

k > 0, Rk k > 0, Rk k >

aN},
=

F^, Rk

or

riJ}

Fn-

simplicity

now on we assume seen

The above notations

can

be

in

Fig.
if k

that t# < 0. 1, where instead of the process


>

Tk

Tk
is shown.

f Tk

0,

-Tk if k

< 0

ON THE FAVOURITE VALUE OF THE RWIRE

299

Figure
Now few lemmas.

we

LEMMA 29.1 There exists

simple NON-ACTIVATED @ 1) VERSION www.avs4you.com


present
a an

absolute constant 6

<

0 <

such that

where

Proof.

Consequence

1 of Section 13.3
<

easily implies that


+

Ti{LN(j)
is

6/2

Aj

2,y

0,1,..., N

1}

B9-4)
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

have Lemma 29.1.

Nk(?)
<

be

sequence of

positive integers

for which

LN{J) (by

6/2

Aj

+ 2

(j =0,l,...,iV-l),
an

and infinite

holds

Lemma 29.1 for almost all ? there exists such

sequence).

300

CHAPTER 29

LEMMA 29.2 For almost all ? and for any

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

Proof. By Lemma 27.1,

B6.5)
=

and the definition of N

have

NON-ACTIVATEDTk) exp(VERSION exp( www.avs4you.com


JU{aN)
> >
max

M >aN}

E0{l- p@,1, aN))

and

<

Eo) exp(-

max

Tk)
-

(cf.

the notations in Section

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)<(aN-l-pj(N))exp((l
i=r7(N) and for all but finitely many k.

e)-)

(Pf)

for any

> 0

Hence the lemma is

proved.

ON THE FAVOURITE VALUE OF THE RWIRE

301

Introduce the

following
Pi
=

further notations:
=

Pi{<*n) h{aN) ?{j,pn)

min{n min{n

: n : n

>
>

0,RpN+n

aN},

pi,RFf/+n
-

as},---

?{j,FN+pn)

aN-2
=

1+

E *xp{-{Tail-i-Tk))
{1-pUJ+U*n))-1
D{j,aN).

and

D*{j,N)
Observe that

p{j,aN-l,aN) rr: 1~P(J,J+ !


Uj+lUj+2

Dh, as)

Dlj,
-

a^

1)

Clearly Lemmas

LEMMA 29.3 For any

NON-ACTIVATED VERSION j www.avs4you.com U(j,Pn) Of^j B9.10) (--^)


27.11 and 27.10
< an we
can

?/_!

exp(Taw_i

Tj).

be reformulated

as

follows:

have

P.

>

< exp

where

Cx

>

2p~l. Further, for


>

any K > 0 there exists aC

C(K)
<

> 0

such that

Pf

\iU,Pn) 2n1~/"^(-7^) { tj D{j,N)


to

CD*(j,N)

lognl J

n~K.

B9.11)

Proof of Theorem 29.1. In order


assume

simplify

the notations from

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 >

0 and introduce the

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)

for all but

finitely

many k and

by B9.10)

<expl-expl
Consequently by B9.9) and Lemma
aN-l

29.1

f)*

E
)

y.A.)<c,
i
OtN-1

oo

+
j=o

2J exp(-/A)

/(A)n

a.s.

(P) B9.12)

for all but

Let / e

B9.11) {tn,x{1>iN)). NON-ACTIVATED VERSION www.avs4you.com n^. g CD*(l,N) logn)


Then

finitely

many k.

by

<

Consequently
() ()
,

E e(/,Pn)<2(l-f;aN)n j:
2
p

fJ^r ED{lN)

Clogn
l=T-

^(VAiV) C(l) ^naNexp(-V>iAiV) + C(logn)aNexp ( ) /


\ z

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

one can see

that

ON THE FAVOURITE VALUE OF THE RWIRE

303

Hence

by B9.7)
+00

J=-0O

T^
we

Let

4/(A)n.
>

Then

applying again B9.7)


>

get
+

e)m)

?(Fn

m)

?(Fs

pn)

>

?(<*#-FV

pn)

4/(A)
we

which proves the Theorem. Note that we have proved have

stronger result than Theorem 29.1. In fact

THEOREM 29.2 For almost all environment there exists

sequence

of positive

integers

nx

nx{?)

< n2

n2(?)

<

...

such that

provided that the condition of Theorem

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

NON-ACTIVATED VERSION www.avs4you.com repeated


29.1
is

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

On the liminf behaviour of

?(n)

present only

Conjecture.
lim inf -^n-oo

log log n

a.s.

and

liminf^(loglognK n
noo

oo

a.s.

P.

Chapter

30

A few further

problems

30.1

Two theorems of Golosov

Theorems 27.8 and 27.9 claim that

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

already menSinai suggested

and

NON-ACTIVATED VERSION K= cr2(lognJ www.avs4you.com


*""

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^}

existed and he evaluated those. In fact For any


u

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

original model Kesten A983) proved


2
fu

THEOREM 30.2
lim
noo

P{-Rn

<

u}

7T

J oo

h3(v)dv

where

Sinai

A982)
on

also

proved that

there exists
an
=

sequence of random variables ax, a2,...

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 half-line only and he assumed that the particle can stay where it is located. His model can be formulated as follows.
a

little bit different from the

NON-ACTIVATED VERSION www.avs4you.com


one

Let ?

(p-i(n),po(n),p1(n),} (n
=

0,1,2,...)
=

be

sequence of

indepen-

independent random three-dimensional vectors whose components are non-negative and p_i@) 0, p-i(n) + Po(rc) + Pi(rc) 1 (n 0,1,2...). Assume further that
=

(i) (p-i(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

{p-i(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 ?

define the random walk

{-Rn} by Rq
if if if
=

=0 and

Y?{Rn+i
Then
we

i +

0\Rn

i,Rn-U---,Ro}

(p-^i)
Po@

9 =-I, 0 0,

(pi(i)

0=1-

have

A FEW FURTHER PROBLEMS

307

THEOREM 30.3

(Golosov, 1984).
any

There exists

random sequence

{an}

de-

defined

on

Qi such that for

oo

< y < oo

lim
noo

T{Rn -an<y}

F{y)

where the exact

form of

the distribution

function F(y) is unknown.


30.2
can

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

mixed type. The but he cannot evaluate it. The Lord


is
a

theorem of

evaluate an but He cannot

use

His further information

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

Non-nearest-neighbour
i.e. the
moves

random walk
nearest-neighbour neighbours. In the last to one of its neighbours.
a

The model studied in the first five

model,
In
a

model of Golosov the

step particle its particle keeps non-nearest-neighbour model the


one as

chapters NON-ACTIVATED VERSION place www.avs4you.com particle


of this Part is
one

in

to

of its

or moves

can move

farther. Such

model

can

be formulated Let ?
=

follows.

(P-i(rc),Pi(n),P2(rc)} {n

0,1,2,...)
=

be

sequence of inde-

independent, identically distributed three-dimensional random vectors whose com1 (n components are non-negative 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

is to find the necessary and sufficient condition for the distribution

which guarantees that

T{Rn

0 i.o.

1.

C0.3)

308

CHAPTER 30

This

question

was

studied in

above formulated

case

general form by Key A984), obtained the required condition.


a more

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,

Remark 2. The general ? is defined by an i.i.d. sequence

NON-ACTIVATED VERSION nearest-neighbour just non-nearest-neighbour (i.e. www.avs4you.com


as

in the

case.

case

when the environment

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 zero-one

law which

implies that

P{Rn
His
zero-one

0 i.o.

or

1.

law

was

generalized by Andjel A988).

30.3

RWIRE in Zd
can

The model of the RWIRE


For the sake of simplicity

be
we
=

trivially extended
be

to the multivariate
case

case.

here,

formulate the model in the


an
=

2. Let

Un

{UJ}\ulp,U\ufp)
0,

\?

>

?#>

0,l,2,...) {i,j 1. The array + UW + UV + UW


=

array of i.i.d.r.v.'s with


=

{UiJt ij

0, 1, 2,...}

A FEW FURTHER PROBLEMS

309

two-dimensional 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),Rn-u{i,j),Rn-U

--,

(i-hj) I Rn [ij ~l)\Rn

(i,j),Rn-x,.-.,Ro}

U$\ ^

No

non-trivial, sufficient condition is known for the

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
=
=

THEOREM 30.5 Define the environment ? by

and

NON-ACTIVATED VERSION www.avs4you.com


Pij^.^.^.^) {<>2,l>2,c2,d2)}
= =

l-p.

Assume that

p[a\ rK

C\)

^r-

> max

\\
Then

p)[c2

a2)
=

I a\ b\ C\ d\\ .-r-.>T" \a2 b2 c2

d2)

Y{Rn
moreover

0 i.o.

0;

lim

RW

oo

a.s.

(P)

where

R^

is the

first coordinate of Rn.


a zero-one

Kalikow also proves


conditions that

law, i.e. he
0
or

can

prove under

some

P{-Rn

i.o.}
some

1.

This

zero-one

law

was

regularity extended by
two of them.

Andjel A988).
Kalikow also formulated
unsolved

problems. Here

we

quote

Problem 1. Is every 3-dimensional RWIRE transient?

310

CHAPTER 30

Problem 2.

LetO<p<l/2

and define the random environment ? by

Is this RWIRE recurrent?

30.4
In

Non-independent

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-

NON-ACTIVATED VERSION environments) normalizing (lognJ. www.avs4you.com


one can

prove the

recurrence

and

central limit theorem with

factor

30.5
Let
a
=

Random walk in random scenery


(a,
=

o(i),

0, 1,
=

2,...)

be

sequence of i.i.d.r.v.'s with


<
oo

Ea,
for
some

0, Ea?
a

1,

E(expt<7.)

\t\

<

t0

(t0

>

0).
a

(independent from {ak})

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

A FEW FURTHER PROBLEMS

311

where

?(, )

is the local time of

{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

to the local time

rji(k,n)
(W2(k

of the Wiener process


+

Wi(-).

Hence

Kn~n-Z'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

extended research of random sceneries.


a

example we refer to Bolthausen A989) where above problem is treated.

multivariate version of the

30.6

Construct

NON-ACTIVATED VERSION Reinforced random walk www.avs4you.com procedure.


a

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

each time the process the number of indices


=
=

( + 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
=

Further, in the case Rx are equal to 2. Hence

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}

1-P{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

recurrent" than the

simple symmetric

random walk.

However,

to prove that it

changing NON-ACTIVATED VERSION depends changing www.avs4you.com


Note that in this model the random environment is
on

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

the random walk itself. Situations where the random environment is

in time look very natural in different

practical

models.

References

ANDJEL,

E. D.
A
zero or one

A988)
environments.

law for one-dimensional random walks in random environ-

The Annals

of Probability 16, 722-729. Z2. Preprint.


walk
on

AUER, P.

A989)

Some

hitting probabilities

of random walks

on

A990)
AUER, P.
-

The circle

homogeneously

covered

by random

Z2. Statistics

&

Probability

Letters 9, 403-407. P.

A989)
BARTFAI, P.

Preprint.

Bestimmung der zu einem wiederkehrenden Prozess gehorenden Verteilungsfunktion aus den mit Fehlern behafteten Daten einer Einzigen ReRealisation. Studia Sci. Math. Hung. 1, 161-168.
Die

NON-ACTIVATED VERSION www.avs4you.com A966)


On the relative

REVESZ,

frequency of points visited by random walk

on

Z2.

BASS, R. F.

GRIFFIN, P.

S.

A985)
BERKES,
I.

The most visited site of Brownian motion and


verw.

simple

random walk.

Z.

Wahrscheinlichkeitstheorie

Gebiete

70,

417-436.

A972)
BICKEL, P.
J.

A remark to the law of the iterated

logarithm. Studia Sci. Math. Hung.

7, 189-197.

ROSENBLATT, M. some global measures of the deviations A973) The Annals of Statistics 1, 1071-1095.
-

On

of

density function estimates.

BILLINGSLEY, P. A968) Convergence of Probability

Measures. 3.

Wiley, New York.

313

314

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N. H.

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Kolmogorov on strong limit theorems. Probability and its Applications 34, 152-164.
The work of A. N.

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BOOK,
S. A.

On the

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Gebiete 46, 1-11.

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E. Sur les

A909)
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G. A. An almost

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central limit theorem. Math.

Proc.

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K. L. On the maximum

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K. L.

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P. Borel
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On the

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G. A.

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On the

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Z. Wahrscheinlich-

Wahrscheinlichkeitstheorie

Gebiete 66, 387-405.


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How

big

the increments of the local time of


Math. Soc. P. J.

simple symmetric

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and Statistics
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(ed.

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FOLDES,

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KOMLOS,

J.
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Limit theorems for Erdos

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Sci. Math.

Hung.

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E.

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On the maximum of 477-497. K.

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GRILL,
On the

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CSAKI,
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A combinatorial

proof

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Math.

Szeged 45,
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VINCZE,
On

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some

problems connected
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-

with the Galton test.

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Math.

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Sci. Math.

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Mesure du

voisinage and occupation density. Probab. Th. Rel. Fields

73, 211-226.
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sums

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A limit theorem for the maximum of normalized

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23, 143-145.

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Loss of

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Reinforced random walk. Probab. Th. Rel. Fields. 84, 203-229.

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On the Erdos

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DEHEUVELS, P. REVESZ, P. A986) Simple random walk Rel. Fields 72, 215-230.
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on

the line in random environment.

Probability Th.

Weak laws for the increments of Wiener processes, Brownian bridges, empirical processes and partial sums of i.i.d.r.v.'s. Mathematical Statistics and

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Probability Theory, Vol. A., Proc. of the M. L. Revesz, P. Wertz, W.).


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DEHEUVELS, P.

Exact convergence rates in strong approximation laws for of partial sums. Probab. Th. Rel. Fields 76, 369-393.

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6th Pannonian

Symp.

69-88

(ed. Puri,

STEINEBACH,

J.

large increments

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A953)
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Gebiete 3, 211-226.

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Z. Wahrscheinlichkeits-

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Gebiete 4, 265-268.

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T.
A discrete Ito formula.

A989)
SZEKELY,
G.

Preprint.

TUSNADY,

G.

A979)
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325

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WEIGL,
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A989)
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A977) Unpublished manuscript.


ZIMMERMANN,
G.

A972)

Some

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sample function properties of the two-parameter Gaussian 43, 1235-1246.

process.

NON-ACTIVATED VERSION www.avs4you.com

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

Devroye, L. 76 Diaconis, P. 312

Dobrushin, R. L. 124, 125 Donsker, M. D. 209 Dvoretzky, A. 187, 195, 197, 207, Erdos,
P. v, 17, 18, 35, 39, 53,

215

NON-ACTIVATED VERSION www.avs4you.com


242

62, 64, 74, 75, 142, 143, 144, 187, 195, 197, 206, 207, 213,

116, 145, 200, 214,

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

116, 122, 147, 175,

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

Hanson, D. L. 69, 171 Horvath, L. 279, 280 Hunt, G. A. 108, 114

Imhof,

I. P. 165

328

AUTHOR INDEX

Ito, K. 147,

173

Pruitt, W. E. 194 Puri, M. L. 160

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,

P. 53, 54, 132 McKean Jr, H. P. 147, 175

NON-ACTIVATED VERSION www.avs4you.com

Mogul'skii, A. A. 112 Mori, T. 59, 60 Mueller, C. 91, 121


Nemetz, T. 63 Newman, D. 132 Odlyzko, A. M. 57, Orey, S. 194 Ortega, I. 64, 68 Ost, F. 63 Pascal, B. xiii Perkins, E. 147 Petrov, V. V. 63 Petrowsky, I. G. 35 Philipp, W. 147 Polya, G. 23, 183
59

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.

Toth, B. 260 Trotter, H. F. 101 Tusnady, G. 18, 53,


Van

54

Zwet, W. R. v Varadhan, S. R. 209

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

NON-ACTIVATED VERSION www.avs4you.com

Subject
Arcsine law 100

Index

Asymptotically deterministic
34

sequence

Random walk in random scenery 310 Random walk in Zx


definition 9 excursion 143, 147, 152 favourite values 129 first
recurrence

Bernstein

inequality

13

Borel

Cantelli lemma 27

Brownian motion 9

94

Chebyshev inequality 28 Dirichlet problem 255


DLA model 258

increments

17, 73

increments of the local time 118

law of the iterated law of the


189 152

logarithm
28

31

EFKP LIL 35

large numbers

Gap method 29 Invariance principle 52, 105,


Ito formula 173 Ito
173

integral Large deviation theorem Levy classes 33


LIL of Khinchine 31

NON-ACTIVATED VERSION www.avs4you.com


location of the last
zero

local time 95, 100, 105, 113, 122,

98, 100,

141,

165

19

location of the maximum 98,100,

142, 161

LIL of Hartman and Wintner 32

longest run 21, 55 longest zero-free interval

141

Logarithmic density 146, 205 Markov inequality 28 Method of high moments 29


Normal numbers 29

maximum 14, 20, 31, 35, 41 maximum of the absolute value

Uhlenbeck process 169 Percolation 259


-

Ornstein

17, 20, 31, 35, 41, 163 mesure du voisinage 148 number of crossings 96, 109
range 44

Quasi asymptotically deterministic sesequence 34

rarely visited points


recurrence

132

23

Rademacher functions 9, 11 Random walk in random environment definition 265 local time 278, 292, 297 maximum 275, 277, 287, 305
recurrence

Strassen type theorems 80, 86, 88,


120

Random walk in Zd

completely covered balls completely covered discs


definition 181

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

law of the iterated

logarithm

193

maximum 192
193
rate of escape 195

logarithm

selfcrossing 213 Strassen type theorems 194


Wiener sausage 210 Wiener sheet 133 Zero-one law 25

183

selfcrossing 213 speed of escape 249 Strassen type theorems Reflection principle 15
.

194

Reinforced random walk 311 Skorohod

embedding

scheme 52

Tanaka formula 175 Theorem of Borel 28 Theorem of


121

Chung

39

Theorem of Donsker and Varadhan

Theorem of Hausdorff 30
Theorem of Hirsch 39
Wiener process in Rl definition 48 excursion 145, 147 increments 63

Wichura's theorem 90

NON-ACTIVATED VERSION www.avs4you.com

increments of the local time 115

local time 100, 105, 187 location of the last zero 169 location of the maximum 165

longest zero-free interval


maximum 53

116

maximum of the absolute value


53

du voisinage 147 occupation time 100


mesure

Strassen type theorems 80, 86, 88,


120

Wiener process in Rd definition 189