Random Walk in Random and Non-Random Environments - by Pal Revesz

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
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Jersey
London
Hong Kong
Published
by
World Scientific Publishing Co. Pte. Ltd., P O Box 128, Farrer Road, Singapore 9128
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office: 687 Hartwell Street, Teaneck,
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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
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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

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

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

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

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
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
"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
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 ô(^) 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

\{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.
Chapter
Distributions
2.1
Exact distributions
gives
A trivial combinatorial argument
THEOREM 2.1
where k

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

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
AjîAj
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

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
êxp ^-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)-Âr>) [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
<
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.
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
-

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
lATÎ
\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-^Sê1/2
Hence
(nôo).
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,...

+
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)
(rîogj)-*'*) + 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

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
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
JÔognJ^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
-
aôo
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
Proof of Lemma 6.2 is
2.11 instead of Theorem 2.10.

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

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,...)
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\
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
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
=

=
-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.
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

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-^

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 jkôo \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

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.

=
...
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

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^Jât))
{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

.
.
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-ôo
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

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

=
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

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

=
trivial
ones)
about the lower classes of
Ô,')
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.
=

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
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)
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
nk
nk(e,u) satisfies (8.1).

>
Then
S([nk/2})
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)
many k.
a.s.
(8.5)
(8.5) suggests that {^([znjfcÔ < 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 rikû))

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
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

=
-
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
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
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)
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 logTaÎ'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:
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)
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)
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))
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
0 then
sup
o<x<i
\wn(x)
f(x)\
<
4A
aI'2 log log n
rrj-r
i.o.
a.s.
and

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)|
<
ÎZ2-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
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

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
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

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.

=
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
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(î
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)}.
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-êCO.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)
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
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
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
<zâiexp
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

-
(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
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).
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)
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
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

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
(ô<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 limôo 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.
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(())
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 limôo 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
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:
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<\.
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

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) limôo 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))
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
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
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)?
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) ê tîe 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.
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
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;
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;:
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 limôo x/f(x) is nondecreasing and limôo 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

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
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
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) 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
=
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
=
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
(î)
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,
(nôo)
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
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
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

Proof. Let
many
n.
An
30
<
An(a,e)

<
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 limôo
/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^Î/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
'
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')
în
yz ~02(n)/^2(n) exp (I 2
V
/
< -
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
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.
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

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.

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 >
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
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
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).
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

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
xÔ,
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

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)
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{î
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, 3,
i.e.
if
if Since
d < 2, 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

[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,...).
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 >
 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)têLLC(\\W(t)\\)
if and only if ?~=1(fc | log </(*:) I)
Remark 2. Theorem 17.4
<
oo.
(d
2)
implies
(log0. e
fLLC(||W(t)||)
if
if
e>0,
?<0.
\))
on
The
proof
the
following:
192
CHAPTER 17
LEMMA 17.2
(Spitzer, 1958).
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

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)
>
nôfrOeLLC^HSnll) {d
if and only if
< oo.
3)
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
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,

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

=
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 |) Ôog 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

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 >
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)

>
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

=
-
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
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
!Â(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^XiBîN))
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.
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
Efcî((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, î,
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 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'* ( 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~â)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

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
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)
JÎ>{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)

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
mû.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

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,-

=
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).
=

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
NON-ACTIVATED VERSION www.avs4you.com -(-?

Hence
we
have Lemma 22.8.
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) pÔ 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).
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^-Ô
-^
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

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~ôgT>>' (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
>
 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

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

(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.
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

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
constant C > 0 such that
P{ max tb{
<
Proof. that
Clearly for
any C > 0 there exists
constant 0 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
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

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

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
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)

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
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.

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.
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
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) PÊq 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)

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)

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^)
Hence
have the upper part of B7.9). Now we turn to the proof of the other
we
inequality of B7.9).
By Lemma

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-Â'
1-
!>*(*)
gives
-
LEMMA 27.6
(Csorgo
Horvath
Revesz, 1987). For
any k
1,2,...
B7'12)

/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.
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 >
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

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
> 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
> 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)
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.
 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 
/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^ 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
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.
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 < î 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(,
Taî))
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
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

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-î)
Po@
9 =-I, 0 0,
(pi(i)
0=1-
have
307
THEOREM 30.3
(Golosov, 1984).
any
There exists
random sequence
{an}
de-
defined
on
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,...}
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

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

<
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
311
where
?(, )
{Sk}Kesten and
Spitzer are arguing heuristically as follows: let T/Uo a* Lh tîen 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
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A
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environments.
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walk
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Author Index
Andjel, E. D. 308, 309 Auer, P. 217, 222, 233, 235, Bartfai, P. 53, 74 Bass, R. 130, 131 Berkes, I. 32 Bernoulli, J. xiii Bickel, P. J. 170 Billingsley, P. 16 Bingham, N. H. 38 Bolthausen, E. 88, 311 Book, S. A. 67 Borel, E. 29 Borodin, A. N. 103 Brosamler, G. A. 146, 147
259
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

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
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
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

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
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

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RANDOM WALK

office: 687 Hartwell Street, Teaneck,

office: 73 Lynton Mead, Totteridge, London N20

NON-ACTIVATED VERSION www.avs4you.com

by World Scientific Publishing Co. Pte. Ltd.

JBW Printers and Binders Pte. Ltd.

You write Van

that the idea of that book

to Leiden in 1984 for

semester and to drink

few beers with

Leiden, and the handout of that seminar

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

version of this book. I

indebted to Willem and to the

I wrote this book in 1987-89 in Vienna

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

number of useful discussions.

University of Vienna Hauptstrasse 8-10/107

I. SIMPLE SYMMETRIC RANDOM WALK IN Zl

NON-ACTIVATED VERSION www.avs4you.com

Recurrence and the Zero-One Law

The LIL of Khinchine vii

When will Sn be very

Wiener process and Invariance 6.1 Two lemmas

Definition of the Wiener process Invariance

NON-ACTIVATED VERSION www.avs4you.com

Distribution of the local time

Definition and distribution of the local time of

100 105 105

10 Local time and Invariance 10.1 An Invariance

11.6 Favourite 11.7

12.1 On the Wiener sheet 12.2 The theorem 12.3

134 137 141

13.1 On the distribution of the

13.2 Local time and the number of

13.3 The local time of 13.4 How many times

random walk reach its maximum?

14 A few further results

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II. SIMPLE SYMMETRIC RANDOM WALK IN

17 Wiener process and Invariance

19 Local time 19.1

19.3 A few further results

20.1 The range of Sn 20.2 Wiener sausage

problems the Dirichlet problem

24.2 DLA model 24.3 Percolation

III. RANDOM WALK IN RANDOM ENVIRONMENT

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26 In the first six 27 After the sixth

27.1 The 27.3 A

27.2 Guess how far the

275 277 287

the Lord the

291 291 292

28.1 Two further lemmas

29 On the favourite value of the RWIRE

30.1 Two theorems of Golosov

30.3 RWIRE in 30.4

30.5 Random walk in random scenery

30.6 Reinforced random walk

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