Let $\{X_t\}_{t \geq 0}$ be a symmetric, nearest-neighbor random walk on $\mathbb{Z}^d$ with exponential holding times of expectation $1/d$, starting at the origin. For a potential $V: \mathbb{Z}^d \to [0, \infty)$ with finite and nonempty support, define transformed path measures by $d \hat{\mathbb{P}}_T \equiv \exp (T^{-1} \int_0^T \int_0^T V(X_s - X_t) ds dt) d \mathbb{P}/Z_T$ for $T > 0$, where $Z_T$ is the normalizing constant. If $d = 1$ or if the self-attraction is sufficiently strong, then $||X_t||_{\infty}$ has an exponential moment under $\mathbb{P}_T$ which is uniformly bounded for $T > 0$ and $t \in [0, T]$. We also prove that ${X_t}_{t \geq 0}$ under suitable subsequences of ${\hat{\mathbb{P}}_T}_{T > 0}$ behaves for large $T$ asymptotically like a mixture of space-inhomogeneous ergodic random walks. For special cases like a sufficiently strong Dirac-type interaction, we even prove convergence of the transformed path measures and the law of $X_T$ as well as of the law of the empirical measure $L_T$ under ${\hat{\mathbb{P}}_T}_{T > 0}$.

Bolthausen, E; Schmock, U (1997). *On self-attracting $d$-dimensional random walks.* The Annals of Probability, 25(2):531-572.

## Abstract

Let $\{X_t\}_{t \geq 0}$ be a symmetric, nearest-neighbor random walk on $\mathbb{Z}^d$ with exponential holding times of expectation $1/d$, starting at the origin. For a potential $V: \mathbb{Z}^d \to [0, \infty)$ with finite and nonempty support, define transformed path measures by $d \hat{\mathbb{P}}_T \equiv \exp (T^{-1} \int_0^T \int_0^T V(X_s - X_t) ds dt) d \mathbb{P}/Z_T$ for $T > 0$, where $Z_T$ is the normalizing constant. If $d = 1$ or if the self-attraction is sufficiently strong, then $||X_t||_{\infty}$ has an exponential moment under $\mathbb{P}_T$ which is uniformly bounded for $T > 0$ and $t \in [0, T]$. We also prove that ${X_t}_{t \geq 0}$ under suitable subsequences of ${\hat{\mathbb{P}}_T}_{T > 0}$ behaves for large $T$ asymptotically like a mixture of space-inhomogeneous ergodic random walks. For special cases like a sufficiently strong Dirac-type interaction, we even prove convergence of the transformed path measures and the law of $X_T$ as well as of the law of the empirical measure $L_T$ under ${\hat{\mathbb{P}}_T}_{T > 0}$.

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## Additional indexing

Item Type: | Journal Article, refereed, original work |
---|---|

Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |

Dewey Decimal Classification: | 510 Mathematics |

Uncontrolled Keywords: | $d$-dimensional random walk; attractive interaction; large deviations; weak convergence; maximum entropy principle; Dirac-type interaction |

Language: | English |

Date: | 1997 |

Deposited On: | 30 Apr 2010 12:14 |

Last Modified: | 05 Apr 2016 13:26 |

Publisher: | Institute of Mathematical Statistics |

ISSN: | 0091-1798 |

Publisher DOI: | https://doi.org/10.1214/aop/1024404411 |

Official URL: | http://projecteuclid.org/euclid.aop/1024404411 |

Related URLs: | http://www.ams.org/mathscinet-getitem?mr=1434118 http://www.zentralblatt-math.org/NEW/zmath/en/search/?q=an%3A0873.60008 |

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