1. Introduction and the Statement of the Main Results
Itô and Mckean [
1] first proposed an elementary but interesting stochastic process which is named for Skew Brownian motion to provide a construction of some random processes related to Feller’s classification of differential operators of the second order associated with diffusion processes (see Section 4.2 in [
2]). In 1978, Walsh [
3] expressed this model as a Brownian motion with excursions near zero in random directions which are values for random variables in
and the different excursions with a constant price for each excursion are independent on the plane. Barlow, Pitman, and Yor [
4] define more precisely the process which is called Walsh’s Brownian motion.
From Evans and Sowers [
5] and Barlow et al. [
6], we propose a kind of Walsh’s Brownian motion that occupies on N partial axes on the plane which is the so-called Walsh’s spider, or Brownian spider. This motion behaves as a standard Brownian motion over each of the legs. Whenever the work arrives to the origin, with a given probability, it moves its motion over any of the N legs. Thus, someone can make the Brownian spider by independently setting the excursions from zero of a usual Brownian motion over the
-th leg of the spider with probability
with
For the special case of
Papanicolaou et al. [
7] established a general case of arc-sine law, regarding the time spent overall on the legs and observed the exit times for the specific sets. Vakeroudis and Yor [
8] further developed this problem. Replacing the Brownian motions with the classical case of simple symmetric random walks over the legs, we realized that a counterpart of discrete cases for this motion is random walks on a spider. Hajri [
9] investigated some versions for discrete case as asymptotic results of the Brownian spider and developed the weak limiting results in a more general case of asymptotic results for discrete cases that are related to Walsh’s Brownian motion. He investigated that the results of weak limiting can be derived from skew random walks in the special case of N = 2 resulting from the convergence to a skew Brownian motion.
Matzavinos, Roitershtein, and Seol [
10] first proposed random walks on a sparse random environment that can be perturbations of simple symmetric random walks and investigated a variety of asymptotic behaviors of this model, such as the existence of the asymptotic velocity, transience, and recurrence criteria and a transition of phase for their values, and limit theorems for some behaviors in both transient and recurrent regimes. Skew random walks specifically can be characterized as a special case of random walks in a fixed sparse environment with a certain deterministic sequence of constants.
In continuous cases, a relative similar process is the multi-dimensional skewed Brownian motion considered in Ramirez [
11]. An analogue of direct discrete time for multi-dimensional skewed Brownian motion is a multi-dimensional skewed random walk, which can be expressed as a quenched type of the model with a certain deterministic expression of constants. In Ramirez [
11], the marked sites are named interfaces whenever the long stretches of the usual sites divided by the interfaces are mentioned as layers that appeal to a motivation for physical meaning of the model.
Csáki et al. [
12] proved an invariance principle with a strong version for the random walks on a spider by the Brownian spider as the limiting results. In addition, they investigated the transition probabilities and they also studied how high the walk can go over a spider with N legs, when N is fixed, and they also studied the probability that the walk goes up to certain heights concurrently over all legs when the number of legs are going to increase. In another Csáki et al. paper [
13], they established limiting behaviors regarding occupation and local times on the legs when the number of steps go to infinity.
We start with a general description of random walks on a spider. Consider the following set of half lines, on the complex plane,
where, with
We will call
a spider with N legs. In addition,
is named the body of the spider, and
is the
-th leg of the spider. On
the distance can be defined as
and
In this paper,
will stand for random walks on a spider and
for a classical case of simple symmetric random walk on the line, with probabilities denoted by P and
respectively. We will state the following notation which we will use throughout the paper, for
which mean that the sign of minus is the exact opposite half line of the specific site. The number of legs N in this paper is fixed, so we will suppress N in the notation. That is,
and
for
Throughout the paper, we consider a random walk on a spider
that starts from the body of the spider, i.e.,
with the following probabilities of transition:
with
and, for
Let
be independent and identically distributed(i.i.d.) random variables with
that are independent of the classical case of simple symmetric random walk
As a consequence, we can redefine random walk on a spider as
if
and
if
The limiting process for the random walks on a spider is named as Brownian motion on spider, or simply Brownian spider that is a kind of Walsh’s Brownian motion (see Walsh [
3], and Csáki et al. [
12]). The construction of the Brownian spider is the following progresses. The standard Brownian motion
has a number of countable excursions from zero, and denote by
a fixed enumeration of the intervals for its excursion away from zero. Then, for any
for which
we have that
for one of the values of
Let
be independent and identically distributed(i.i.d.) random variables, independent of standard Brownian motion
with
By placing the excursion whose interval is
to the
-th leg of the spider
we are setting up the Brownian spider
that can defined as the following:
and
if
As the special case of N = 2, they can be expressed as the general case of skewed random walk and skewed Brownian motion. In this case, we let
,
; then, the skew random walk
with parameter
can be defined as a Markov chain on Z with probabilities of transition
In the case of definition in Equation (
4), the model can be expressed as
, if
and
where
are independent and identically distributed(i.i.d.) random variables with
and
are excursion intervals of
The skew Brownian motion
with parameter
can be established as the following progresses. Let
be a standard Brownian motion on the line, and let
be the intervals for excursion from zero in
Let
are independent and identically distributed (i.i.d.) random variables, independent of
with
. Then,
Harrison and Shepp [
14] mentioned without proof that the functional central limit theorem for skew Brownian motion as the limiting process of a properly generated skewed random walk on Z. This result has considered as a foundation for numerical algorithms tracking moving particle in a highly heterogeneous porous media; (see, for examples [
15,
16,
17]). In [
16], they suggested that tightness can be proved based on the second moments, but this method can’t be used even in the classical case of simple symmetric random walk. Due to the insufficiency of probabilistic independence of the increments, we use a fourth moment proof method for even more of a challenge. Although, in more general frameworks, proofs of Functional central limit theorems have subsequently been obtained by other methods (see, for instance [
18] and Section 6.2 in [
19]), a simple self-contained proof for tightness of skew random walk has not been available in the literature. Recently, Seol [
20] investigated an elementary proof of the tightness by using the method rely on a fourth order moment.
In this paper, we consider the random walks in a spider which is the general case of skew random walks defined in Equation (
4), and we will prove the following two main results. Let
be the space of continuous functions from
into
equipped with the topology of uniform convergence on compact sets. For
, let
denote the following linear interpolation of
for random walks on a spider:
Throughout the paper, we denote the integer part of a real number
Theorem 1. For any there exists a constant such that the inequalityholds uniformly for all and The results stated Theorem 1 implies (see, for example [
21] (p. 98)):
Corollary 1. The family of processes is tight in
The following theorem states the convergence of finite dimensional distribution for random walks on a spider.
Theorem 2. Let B be a standard Brownian motion starting at x with probability density function and a Brownian spider and let , then for bounded and continuous function g.
The structure of this paper is organized as follows. Some important results to prove the main results in
Section 2. In
Section 3, we discuss two conditions to prove the main results which are the tightness and convergence of finite dimensional distribution for random walks on spider. Finally, the proofs for the main theorems are contained in
Section 3.
2. Some Preliminary Results
In this section, we provide some key lemmas which can be used in the proof of our main result. The n-step transition probabilities of random walks on a spider can be described as the following statement:
The following are immediate corollaries of these relationships.
Corollary 2. For , it holds true:
- (a)
;
- (b)
Proof. Using Proposition 1, we obtain
and
□
Corollary 3. For , , it satisfies Proof. We first assume that
From Proposition 1, we obtain
For
,
□
Corollary 4. Let be the random walks on a spider defined in Equation (4), then, for , Proof. The strong Markov property makes this obvious. Let
=
. Since
it suffices to show that
□
Corollary 5. Let be the random walks on a spider defined in Equation (4); then, for Proof. First, consider the above summation for
as the sum of two parts.
and
For the term in Equation (
9) for summation of
let
for the case
give the following
The term in Equation (
8) is
Using Proposition 1 and Equations (
10) and (
11), we conclude that
□
The next few lemmas can be used to establish “tightness”.
Lemma 2. If we define a sequence as follows: then, for , we have Proof. First, consider the equation as two parts:
From Corollaries 4 and 5, we have
□
Lemma 3. Define a sequence as follows: Proof. First, we have the following equation from the definition of
;
Using Corollary 5, we have
It follows from Corollary 4 and Lemma 2 that
□
Remark 1. To prove the weak convergence, we need to show the convergence of finite dimensional distributions and tightness properties. In the case of of , one can easily show the tightness as a consequence of the simple random walk to Brownian motion because the simple random walk has independent and identically distributed increments (with finite second moments). (e.g., see [22]). However, for the case of random walks on a spider, the increments are not independent. Thus, we introduce a proposition derived from the Karamata Tauberian Theorem to show tightness. Let ϕ be a measure on We define the Laplace transform of ϕ to be the real-valued function for by where The following propositions can be found in [
20,
22].
Proposition 2. If ϕ and ψ are measures on such that and both exist for , then the convolution has the Laplace transform for all
In general, for the n-fold convolution of n integrable functions , we have
For the measures of discrete case, one has the following consequence of Karamata Tauberian Theorem represented in terms of generating function, i.e., with
, (e.g., see ([
22] (p. 118)) as a special case of Karamata Tauberian Theorem.
Proposition 3. Let , where is a sequence of non-negative numbers. For L slowly varying at infinity and one has We are in a position to get the following key proposition and the proof can be found in [
20].
Proposition 4. If we define a sequence as follows:then, satisfies that - (a)
If , then ;
- (b)
If , then .
Proof. From the fact that
with probability 1 and Lemma 3,
Thus, we have
where
□
Lemma 4. For integers Proof. From the fact that
with probability 1 and Lemma 3,
Thus, we have
where
□
Lemma 5. For integers Proof. Now, using the general case of the 4-fold convolution, the last term in inequality expressed above can be written as
Hence, using Lemma 4, we conclude that
where
□