Brownian motion and Random Walk above Quenched Random Wall

Abstract : We study the probability of a random walk staying above a trajectory of another random walk. More precisely, let {Bn} n∈N and {Wn} n∈N be two centered random walks (subject to moment conditions). We establish that P (∀ n≤N Bn ≥ Wn|W) ~ N −γ , where γ is a non-random exponent and ~ is understood on the log scale. In the classical setting (i.e. Wn ≡ 0) it is well-known that γ = 1/2. We prove that for any non-trivial wall W one has γ > 1/2 and the exponent γ depends only on Var(B1)/Var(W1). Further, we prove that these results still hold if B depends weakly on W , this problem naturally emerges in studies of branching random walks in a time-inhomogenous random environment. They are valid also in the continuous time setting, when B and W are (possibly perturbed) Brownian motions. Finally, we present an analogue for Ornstein-Uhlenbeck processes. This time the decay is exponential exp(−γN).
Type de document :
Pré-publication, Document de travail
2015
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01322463
Contributeur : Bastien Mallein <>
Soumis le : vendredi 27 mai 2016 - 11:12:34
Dernière modification le : mardi 11 octobre 2016 - 15:21:03
Document(s) archivé(s) le : dimanche 28 août 2016 - 10:29:45

Fichiers

BMoverBM.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01322463, version 1

Collections

INSMI | UPMC | PSL | USPC

Citation

Bastien Mallein, Piotr Miłoś. Brownian motion and Random Walk above Quenched Random Wall. 2015. <hal-01322463>

Partager

Métriques

Consultations de
la notice

30

Téléchargements du document

22