Limit theorems for one and two-dimensional random walks in random scenery
Annales de l'I.H.P. Probabilités et statistiques, Volume 49 (2013) no. 2, pp. 506-528.

Random walks in random scenery are processes defined by ${Z}_{n}:={\sum }_{k=1}^{n}{\xi }_{{X}_{1}+\cdots +{X}_{k}}$, where $\left({X}_{k},k\ge 1\right)$ and $\left({\xi }_{y},y\in {ℤ}^{d}\right)$ are two independent sequences of i.i.d. random variables with values in ${ℤ}^{d}$ and $ℝ$ respectively. We suppose that the distributions of ${X}_{1}$ and ${\xi }_{0}$ belong to the normal basin of attraction of stable distribution of index $\alpha \in \left(0,2\right]$ and $\beta \in \left(0,2\right]$. When $d=1$ and $\alpha \ne 1$, a functional limit theorem has been established in (Z. Wahrsch. Verw. Gebiete 50 (1979) 5-25) and a local limit theorem in (Ann. Probab. To appear). In this paper, we establish the convergence in distribution and a local limit theorem when $\alpha =d$ (i.e. $\alpha =d=1$ or $\alpha =d=2$) and $\beta \in \left(0,2\right]$. Let us mention that functional limit theorems have been established in (Ann. Probab. 17 (1989) 108-115) and recently in (An asymptotic variance of the self-intersections of random walks. Preprint) in the particular case when $\beta =2$ (respectively for $\alpha =d=2$ and $\alpha =d=1$).

Les promenades aléatoires en paysage aléatoire sont des processus définis par ${Z}_{n}:={\sum }_{k=1}^{n}{\xi }_{{X}_{1}+\cdots +{X}_{k}}$, où $\left({X}_{k},k\ge 1\right)$ et $\left({\xi }_{y},y\in {ℤ}^{d}\right)$ sont deux suites indépendantes de variables aléatoires i.i.d. à valeurs dans ${ℤ}^{d}$ et $ℝ$ respectivement. Nous supposons que les lois de ${X}_{1}$ et ${\xi }_{0}$ appartiennent au domaine d’attraction normal de lois stables d’indice $\alpha \in \left(0,2\right]$ et $\beta \in \left(0,2\right]$. Quand $d=1$ et $\alpha \ne 1$, un théorème limite fonctionnel a été prouvé dans (Z. Wahrsch. Verw. Gebiete 50 (1979) 5-25) et un théorème limite local dans (Ann. Probab. To appear). Dans ce papier, nous prouvons la convergence en loi et un théorème limite local quand $\alpha =d$ (i.e. $\alpha =d=1$ ou $\alpha =d=2$) et $\beta \in \left(0,2\right]$. Mentionnons que des théorèmes limites fonctionnels ont été établis dans (Ann. Probab. 17 (1989) 108-115) et récemment dans (An asymptotic variance of the self-intersections of random walks. Preprint) dans le cas particulier où $\beta =2$ (respectivement pour $\alpha =d=2$ et $\alpha =d=1$).

DOI: 10.1214/11-AIHP466
Classification: 60F05,  60G52
Keywords: random walk in random scenery, local limit theorem, local time, stable process
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Castell, Fabienne; Guillotin-Plantard, Nadine; Pène, Françoise. Limit theorems for one and two-dimensional random walks in random scenery. Annales de l'I.H.P. Probabilités et statistiques, Volume 49 (2013) no. 2, pp. 506-528. doi : 10.1214/11-AIHP466. http://www.numdam.org/articles/10.1214/11-AIHP466/

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