Rate of escape and central limit theorem for the supercritical Lamperti problem

Details Rate of escape and central limit theorem for the supercritical Lamperti problem Rate of escape and central limit theorem for the supercritical Lamperti problem

2009-11-13

arxiv.org/abs/0911.2599v2

Stochastic Processes and their Applications, Vol. 120 (2010), no. 10, p. 2078-2099

Mathematics

Probability

24 pages; v2: minor revision

Scientific paper

10.1016/j.spa.2010.06.004

The study of discrete-time stochastic processes on the half-line with mean drift at $x$ given by $\mu_1 (x) \to 0$ as $x \to \infty$ is known as Lamperti's problem. We give sharp almost-sure bounds for processes of this type in the case where $\mu_1 (x)$ is of order $x^{-\beta}$ for some $\beta \in (0,1)$. The bounds are of order $t^{1/(1+\beta)}$, so the process is super-diffusive but sub-ballistic (has zero speed). We make minimal assumptions on the moments of the increments of the process (finiteness of $(2+2\beta+\varepsilon)$-moments for our main results, so 4th moments certainly suffice) and do not assume that the process is time-homogeneous or Markovian. In the case where $x^\beta \mu_1 (x)$ has a finite positive limit, our results imply a strong law of large numbers, which strengthens and generalizes earlier results of Lamperti and Voit. We prove an accompanying central limit theorem, which appears to be new even in the case of a nearest-neighbour random walk, although our result is considerably more general. This answers a question of Lamperti. We also prove transience of the process under weaker conditions than those that we have previously seen in the literature. Most of our results also cover the case where $\beta =0$. We illustrate our results with applications to birth-and-death chains and to multi-dimensional non-homogeneous random walks.

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