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Contents lists available atScienceDirect

C. R. Acad. Sci. Paris, Ser. I

www.sciencedirect.com

Probability theory

First- and second-order expansions in the central limit theorem for a branching random walk

Développements du premier et du second ordre dans le théorème central limite pour une marche aléatoire avec branchement

Zhiqiang Gao

a

, Quansheng Liu

b

,

c

aSchoolofMathematicalSciences,LaboratoryofMathematicsandComplexSystems,BeijingNormalUniversity,Beijing100875,PRChina bUniv.Bretagne-Sud,CNRSUMR6205,LMBA,campusdeTohannic,56000 Vannes,France

cChangshaUniversityofScienceandTechnology,SchoolofMathematicsandStatistics,Changsha 410004,China

a rt i c l e i n f o a b s t ra c t

Articlehistory:

Received2September2015

Acceptedafterrevision25January2016 PresentedbyJean-PierreKahane

Wegivethefirst- andsecond-orderasymptoticexpansions forthecentrallimittheorem about the distribution of particles in a branching random walk on the real line. In particular,ourfirst-orderexpansionrevealstheexactconvergencerateinthecentrallimit theorem;itextendsandimprovesaknownresultforthebranchingWienerprocess.

©2016Académiedessciences.PublishedbyElsevierMassonSAS.All rights reserved.

ré s u m é

Nousdonnonslesdéveloppementsasymptotiques d’ordres unetdeuxdans lethéorème centrallimitesurladistributiondesparticulesdansunemarchealéatoireavecbranchement surladroite réelle. Enparticulier, ledéveloppement asymptotique d’ordreun révèle la vitesseexacte deconvergence duthéorème central limite, cequi étendet amélioreun résultatconnupourleprocessusdeWieneravecbranchement.

©2016Académiedessciences.PublishedbyElsevierMassonSAS.All rights reserved.

Versionfrançaiseabrégée

Considéronsunemarchealéatoireavec branchementsurladroiteréelleR.Lemodèleestdéfinicommesuit. Autemps n

=

0,uneparticuleinitialeestsituéeenS

=

0

R.Autempsn

=

1,elleestremplacéeparN

=

N∅nouvellesparticules

i

=

i de la génération 1, localisées en Li

=

Li

,

1

i

N. En général, chaque particule u

=

u1u2

· · ·

un de génération n, située en Su, est remplacée au temps n

+

1 par Nu nouvelles particules ui de génération n

+

1, localisée en Sui

=

Su

+

Lui

,

1

i

Nu, où lesvariables aléatoires Nu et Lu sont respectivement de loi

{

pi

}

i∈N sur N etde loi G

( · )

sur R. Touteslesvariablesaléatoires Nu etLu,indexéesparlessuitesfiniesu,sontmutuellementindépendantes.

E-mailaddresses:[email protected](Z. Gao),[email protected](Q. Liu).

http://dx.doi.org/10.1016/j.crma.2016.01.021

1631-073X/©2016Académiedessciences.PublishedbyElsevierMassonSAS.All rights reserved.

(2)

Ondésignepar Tn l’ensembledesindividusde lane génération,représentéspar dessuitesu d’entierspositifsde lon- gueur

|

u

| =

n;commed’habitude,laparticuleinitialeestreprésentéeparlasuitenulle∅(delongueur0) ;siu

Tn,alors ui

Tn+1 sietseulementsi1

i

Nu.

Soit

Zn

=

u∈Tn

δ

Su

la mesure de comptage à l’instant n : pour unepartie A de R, Zn

(

A

)

est lenombre desparticules de la génération n localiséesdans A.Alors

{

Zn

(R)}

estunprocessusdeGalton–Watson.Ilestbienconnuquelasuite

Wn

=

Zn

( R )

mn avecm

=

i=0

ipi

,

n

0

,

formeunemartingalenonnégativeparrapportàlafiltrationnaturelle.Supposonsque

m

>

1 et

i=1

i

(

lni

)

1pi

< ∞,

(1)

oùlavaleur de

λ >

0 serapréciséedansleshypothèses desthéorèmes.Sous(1),leprocessusde Galton–Watson

{

Zn

(R)}

estsurcritiqueetlasuite

{

Wn

}

convergepresquesûrement(p.s.)verssalimiteW,avecEW

=

1 parlethéorèmedeKesten–

Stigum(voir[2]).

Noussommesintéresséspardespropriétésasymptotiquesdelamesurede comptage Zn,quidécritlaconfigurationdu systèmedeparticulesàl’instantn.Sousl’hypothèse(1)pourun

λ >

0 etlacondition

|

x

|

2dG

(

x

) <

,KaplanetAsmussen [11]ontmontrélethéorèmecentrallimitesuivant :pourtoutt

R,

1

mnZn

((−∞,

nl

+ √

n

σ

t

]) −−−→

n→∞

p.s.

(

t

)

W

,

(2)

l

=

xdG

(

x

), σ

2

=

(

x

l

)

2dG

(

x

), (

t

) =

t

−∞

1 2

π

e

t2/2dx

.

Nous allonsapprofondir ce théorème enconsidéront des développement limités. Enparticulier, nousdonnons la vitesse exactedelaconvergencedans(2).Lesrésultatsdépendentdedeuxmartingales

{

N1,n

}

et

{

N2,n

}

,quiconcernentlesdévia- tionsdespositions Su autourdeleurmoyennes,d’ordrepremieretsecond,centréesetnormalisées :

N1,n

=

1 mn

u∈Tn

(

Su

nl

)

et N2,n

=

1 mn

u∈Tn

(

Su

nl

)

2

n

σ

2

.

Pourlaconvergencedesmartingales,nousauronsbesoindelaconditiondemoment :

|

x

|

ηdG

(

x

) < ∞, η >

0

.

(3)

Proposition0.1.Lessuites

{

N1,n

}

et

{

N2,n

}

sontdesmartingalesparrapportàlafiltrationnaturelle.Lesdeuxmartingalesconvergent p.s.sousdeconditionssimples :

(i) si(1)alieupourun

λ >

1et(3)alieupourun

η >

2,alorsV1

:=

nlim→∞N1,nexistep.s.dansR; (ii) si(1)alieupourun

λ >

2et(3)alieupourun

η >

4,alorsV2

:=

nlim→∞N2,nexistep.s.dansR.

Pourledévoplopementasymptotique,nousauronsbesoindelaconditiondeCramér :

lim sup

|t|→∞

eitxdG

(

x

)

<

1

.

(4) Lethéorèmesuivantconcernelecomportementasympotiqued’ordre1danslethéorèmecentrallimite.

(3)

Théorème0.2.Onsupposelesconditionsdemoment(1)et(3)pourcertains

λ >

8et

η >

12,etlaconitiondeCramér(4).Alorsp.s.

nousavons :pourtoutt

R,lorsquen

→ ∞

, 1

mnZn

( −∞ ,

nl

+ √

n

σ

t

] = (

t

)

W

+ √

1

nV

(

t

) +

o

(

1 n

),

oùV(t

)

estlavariablealéatoiredéfiniepar(11).

Ce théorème révèle lavitesseexacte de convergencedansle théorèmecentral limite. Il étendet amélioreunrésultat connu pour leprocessusde Wieneravec branchement [4]. Ila été obtenupar Kabluchko[10,Theorem 5andRemark 2]

souslaconditiondusecondmomentpourlaloi

{

pi

}

i∈N.

Sousdesconditionsunpeuplusfortes,nouspouvonsobtenirledévelopmentasymptotiqued’ordre2 :

Théorème0.3.Onsupposelesconditionsdemoment(1)et(3)pourcertains

λ >

18et

η >

24,etlaconitiondeCramér(4).Alorsp.s., nousavons :pourtoutt

R,lorsquen

→ ∞

,

1

mnZn

((−∞,

nl

+ √

n

σ

t

]) = (

t

)

W

+ √

1

nV

(

t

) +

1

nR

(

t

) +

o

1 n

,

oùV

(

t

)

etR

(

t

)

sontlesvariablesaléatoiresdéfiniespar(11)et(13).

Les résultats présentés dans cette note peuvent être généralisés au cas desmarches aléatoires avec branchement en milieuxaléatoires.Pourlespreuvescomplètesetplusdedétails,nousrenvoyonsleslecteursauxréférences[5,6].

1. Introductionandresults

In thisnote,we shallpresentrecentprogresson first- andsecond-orderasymptoticexpansionsforthe distributionof particlesinabranchingrandomwalkundersuitableconditions.Thereadermayreferto[5,6]forcompleteproofsandmore relatedresults,wheretheresultsareobtainedunderageneralframework,i.e.forabranchingrandomwalkwitharandom environmentintime.

Consider abranching randomwalk onthereallineR.Initially,an ancestorparticleislocatedat S

=

0.At time1, theinitialparticle∅isreplacedby N

=

N∅newparticles∅i

=

i ofgeneration1,withdisplacementLi

=

Li,sothateach particle∅i

=

i movestoSi

=

S

+

Li,thatis,Si

=

Li

,

1

i

N.Ingeneral,attimen

+

1,eachparticleu

=

u1u2

· · ·

unof generationnisreplacedbyNu newparticlesofgenerationn

+

1,withdisplacementsLu1

,

Lu2

, · · · ,

LuNu,sothateachparticle uihaspositionSui

=

Su

+

Lui,1

i

Nu.EachNu isaninteger-valuedrandomvariablewithcommondistribution

{

pi

}

i∈N, andeach Lu isareal-valuedrandomvariablewithcommondistribution G

(·)

;all therandomvariablesNu

,

Lu,indexedby finitesequencesofintegersu,areindependentofeachother.

Let T be the genealogical treewith

{

Nu

}

as defining elements. Bydefinition, we have: (a)

T; (b) ui

Timplies u

T;(c)ifu

T,thenui

Tifandonlyif1

i

Nu.Let

T

n

= {

u

∈ T : |

u

| =

n

}

bethesetofparticlesofgenerationn,where

|

u

|

denotesthelengthofthesequenceu.

Denote by Zn

=

u∈Tn

δ

Su the countingmeasure which countsthe numberof particles ofgeneration n situatedin a givenset:forB

R,

Zn

(

B

) =

u∈Tn

1B

(

Su

).

Then

{

Zn

(

R

) }

formsaGalton–Watsonprocess.Itiswellknownthat

Wn

=

Zn

(R)

mn with m

=

i=0 ipi

,

isamartingalewithrespecttothenaturalfiltration.Weshallalwayssupposethat m

>

1 and

i=1

i

(

lni

)

1pi

< ∞,

(5)

wherethevalueof

λ >

0 willbespecifiedlater.Under(5),theprocessissupercriticalandthemartingale

{

Wn

}

converges a.s. to a non-zero limit W with EW

=

1 by the famous Kesten–Stigum theorem (c.f.[2]);moreover, the event

{

W

>

0

}

coincideswith

{

Zn

→ ∞}

a.s.

We are interested in the asymptotic behavior of the counting measure Zn, which describes the configuration of the particlesystemattimen.ThequestionofcentrallimittheoremforZnwasfirstposedbyHarris[8].Underthenear-minimal

(4)

conditions(5) forsome

λ >

0 and

x2dG

(

x

) <

,Kaplan andAsmussen[11] proved thatforeach fixed t

R,we have a.s.,

1

mnZn

((−∞,

nl

+ √

n

σ

t

]) −−−→

n→∞

(

t

)

W

,

(6)

where l

=

xdG

(

x

), σ

2

=

(

x

l

)

2dG

(

x

), (

t

) =

t

−∞

φ (

x

)

dx with

φ (

t

) = √

1 2

π

e

t2/2

.

(7)

Thisis acentral limit theorem,since itrevealsthat a.s. therandom measures Zn withsuitable norming convergetothe standardnormallaw N

(

0

,

1

)

.Indeed,thefactthat(6)holdsa.s.foreachfixed timpliesthata.s.(6)holdsforallrational t;by themonotonicityofthedistributionalfunctionx

Zn

( −∞ ,

x

]

andthecontinuityof

,itfollowsthata.s.(6)holdsforall real t(thatis,theeventthat(6)holdsforallrealt hasprobability1).

Theresult(6)hasbeenextendedinvariousforms(see,e.g.,[3,7,9]).InspiredbytheclassicalEdgeworthexpansiontheory ofcentrallimittheoremsforsumsofindependentrandomvariables(see, e.g.,[12]),wewish toimprove(6)bydescribing itsasymptoticexpansions.

Inthisnote,we aimtogive thefirst- andsecond-order expansionsintheabovecentral limittheoremwhen Cramér’s conditionaboutthecharacteristicfunctionholds:thatis

lim sup

|t|→∞

eitxdG

(

x

)

<

1

.

(8) Thisconditionholdsforexampleifthedistribution G hasan absolutelycontinuous component(in Lebesgue’sdecomposi- tion),butdoesnotholdifG isalatticedistribution.

Ourresultswilldependonthefollowingtwomartingales,whichconcernthedeviationsofSufromtheirmeans,oforder 1and2,centeredandnormalized:

N1,n

=

1 mn

u∈Tn

(

Su

nl

)

and N2,n

=

1 mn

u∈Tn

(

Su

nl

)

2

n

σ

2

.

Fortheconvergenceofthesemartingales,wewillneedamomentconditionoftheform

|

x

|

ηdG

(

x

) < ∞, η >

0

.

(9)

Proposition1.1.Thesequences

{

N1,n

}

et

{

N2,n

}

aremartingaleswithrespecttothenaturalfiltration

D

0

= {∅ , } , D

n

= σ (

Nu

,

Lui

:

i

1

, |

u

| <

n

)

for n

1

.

Thesemartingalesconvergea.s.undersimplemomentconditions:

a) if(5)holdsforsome

λ >

1and(9)holdsforsome

η >

2,thenV1

:=

nlim→∞N1,nexistsa.s.inR; b) if(5)holdsforsome

λ >

2and(9)holdsforsome

η >

4,thenV2

:=

lim

n→∞N2,nexistsa.s.inR.

Ourfirst resultis a first-orderexpansion inthe central limit theorem.As usual, forrandom variables An and Bn,we write An

=

o

(

Bn

)

a.s.iflimn→∞ ABnn

=

0 a.s.Inthefollowingtheorems,thenumbers8

,

12

,

18 and24 inthehypothesesare fortechnicalreasons;thebestconstantsarenotyetknown,andseemtobedelicate.

Theorem1.2.Assume(5)forsome

λ >

8,(9)forsome

η >

12,and(8).Thena.s.wehave:forallt

R,asn

→ ∞

, 1

mnZn

( −∞ ,

nl

+ √

n

σ

t

] = (

t

)

W

+ √

1

nV

(

t

) +

o

(

1

n

),

(10)

where

V

(

t

) = −

1

σ φ (

t

)

V1

+ σ

(3)

6

σ

3

(

1

t

2

)φ (

t

)

W with

σ

(3)

=

(

x

l

)

3dG

(

x

).

(11)

Thisresultrevealstheexact convergenceratein(6).Inparticular,itimprovesChen’s Theorem3.1in[4]forbranching Wienerprocess by weakeningthemoment conditionsfortheoffspring lawsanddisplacement lawstherein;moreover, it extendsthattothegeneralcaseincludingnon-Gaussiandisplacementunderweakermomentsconditions.Whenthesecond momentcondition

i=1i2pi

<

isassumed,Theorem 1.2wasobtainedbyKabluchko[10,Theorem5andRemark2].

Underslightlystrongermomentsconditions,wecanobtainthesecond-orderasymptoticexpansion.

(5)

Theorem1.3.Assume(5)forsome

λ >

18,(9)forsome

η >

24,and(8).Thena.s.,wehave:forallt

R,asn

→ ∞

, 1

mnZn

(−∞,

nl

+ √

n

σ

t

] = (

t

)

W

+ √

1

nV

(

t

) +

1

nR

(

t

) +

o

1

n

,

(12)

where

R

(

t

) = −

1

2

σ

2t

φ (

t

)

V2

σ

(3)

6

σ

4H3

(

t

)φ (

t

)

V1

( σ

(3)

)

2 72

σ

6 H5

(

t

) +

( σ

(4)

3

σ

4

)

24

σ

4 H3

(

t

)

φ (

t

)

W

,

(13)

with

σ

(ν)

=

(

x

l

)

νdG

(

x

)

for

ν =

3

,

4andHm

(·)

istheChebyshev–Hermitepolynomialofdegreem:

Hm

(

t

) =

m

!

m2

k=0

(−

1

)

ktm2k

k

!(

m

2k

)!

2k

(

so that H3

(

t

) =

t3

3t

,

H5

(

t

) =

t5

10t3

+

15t

).

From[1,Theorem2],weknowthatforeach

λ >

0,thecondition(5)impliesthat

Wn

W

=

o

(

nλ

)

a.s.

WiththisweobtainthefollowingvariantsofTheorems 1.2 and1.3:

Corollary1.4.Assume(5)forsome

λ >

8,(9)forsome

η >

12,and(8).Thena.s.on

{

W

>

0

}

,wehave:fort

R,asn

→ ∞

, 1

Zn

(R)

Zn

(−∞,

nl

+ √

n

σ

t

] = (

t

) + √

1 n

V

(

t

)

W

+

o

(

1

n

).

Corollary1.5.Assume(5)forsome

λ >

18,(9)forsome

η >

24,and(8).Thena.s.on

{

W

>

0

}

,wehave:forallt

R,asn

→ ∞

,

1 Zn

( R )

Zn

( −∞ ,

nl

+ √

n

σ

t

] = (

t

) + √

1 n

V

(

t

)

W

+

1

n R

(

t

)

W

+

o

1 n

.

2. Sketchofproofs

Intheproofsofthemainresults,wefollowtheroutein[11,4]:akeydecompositionplays animportantrole.Weneed somenotationtointroducethedecomposition.

LetT

(

u

)

betheshiftedtreeofTatuwithdefiningelements

{

Nuv

}

satisfying:1)∅

T

(

u

)

,2)vi

T

(

u

)

v

T

(

u

)

and 3)ifv

T

(

u

)

,thenvi

T

(

u

)

ifandonlyif1

i

Nuv.SetTn

(

u

) = {

v

T

(

u

) : |

v

| =

n

}

.

Foru

(N

)

k

(

k

0

)

andn

1,writeforB

R,

Zn

(

u

,

B

) =

v∈Tn(u)

1B

(

Suv

Su

).

Define

tn

=

nl

+ √

n

σ

t

,

Wn

(

u

,

t

) =

1

mnZn

(

u

, ( −∞ ,

t

] ),

for n

1

,

t

∈ R .

Let

β

bearealnumberchosensuitably(takemax

{

2λ

,

3η

} < β <

14 andmax

{

3λ

,

η4

} < β <

16 intheproofsofTheorems 1.2 and1.3respectively)andsetkn

=

nβ

,thelargestintegernobiggerthannβ.

Observefork

n,

Zn

(

B

) =

u∈Tk

Znk

(

u

,

B

Su

).

(14)

Weobtainthefollowingkeydecomposition:

1

mnZn

(( −∞ ,

tn

] ) =

1 mkn

u∈Tkn

Wnkn

(

u

,

tn

Su

) − E

Wnkn

(

u

,

tn

Su

)

Su

+

1 mkn

u∈Tkn

E

Wnkn

(

u

,

tn

Su

)

Su

=: A

n

+ B

n

.

(15)

Theorems 1.2 and1.3followfromLemmas 2.1 and2.2respectively.

(6)

Lemma2.1.UndertheconditionsofTheorem 1.2,foreachfixedt

R,thefollowingholda.s.asn

→ ∞

: (i)

n

A

n

0

,

(ii)

B

n

= (

t

)

Wkn

+ √

1

n

σ

(3)

6

σ

3

(

1

t

2

)φ (

t

)

Wkn

1

σ φ (

t

)

N1,kn

+

o

(

1 n

),

(iii) Wkn

W

=

o

(

1

n

).

Lemma2.2.UndertheconditionsofTheorem 1.3,foreachfixedt

R,thefollowingholda.s.asn

→ ∞

: (i) n

A

n

0

,

(ii)

B

n

= (

t

)

Wkn

+ √

1 n

σ

(3)

6

σ

3

(

1

t

2

)φ (

t

)

Wkn

1

σ φ (

t

)

N1,kn

+

1 n

1

2

σ

2t

φ (

t

)

N2,kn

σ

(3)

6

σ

4H3

(

t

)φ (

t

)

N1,kn

( σ

(3)

)

2 72

σ

6 H5

(

t

) +

( σ

(4)

3

σ

4

)

24

σ

4 H3

(

t

)

φ (

t

)

Wkn

+

o

(

1

n

),

(iii) Wkn

W

=

o

(

1

n

),

N1,kn

V1

=

o

(

1 n

).

The maintermsinthe expansionofBn comefromtheuseofthe Edgeworthexpansionsinthecentral limittheorem (see, e.g., [12, P. 159 Theorem 1]). In the proofsof the lemmas, we need to carry out a carefulanalysis by combining thetoolsincludingtheBorel–CantelliLemma,truncatingarguments,momentinequalitiesforsumsofindependentrandom variables,andsoon.Thereadermayreferto[5,6]fordetails.

Acknowledgements

Theauthorsthanktheanonymousrefereeforvaluablecommentsandsuggestions.ThekindhospitalityofLMBA,Univer- sitédeBretagne-Sud,wherepartofthisworkwascarriedout,iswellacknowledged.Theworkhasbeenpartiallysupported by theNationalNaturalScienceFoundation ofChina (GrantsNo. 11101039,No. 11271045,No. 11571052,No.11401590), by the Fundamental Research Funds for the Central Universities (2013YB52), and by the Natural Science Foundation of GuangdongProvince(China),GrantNo. 2015A030313628.

References

[1]S.Asmussen,Convergenceratesforbranchingprocesses,Ann.Probab.4 (1)(1976)139–146.

[2]K.B.Athreya,P.E.Ney,BranchingProcesses,DieGrundlehrendermathematischenWissenschaften,vol. 196,Springer-Verlag,NewYork,1972.

[3]J.D.Biggins,Thecentrallimittheoremforthesupercriticalbranchingrandomwalk,andrelatedresults,Stoch.Process.Appl.34 (2)(1990)255–274.

[4]X.Chen,Exactconvergenceratesforthedistributionofparticlesinbranchingrandomwalks,Ann.Appl.Probab.11 (4)(2001)1242–1262.

[5] Z.-Q.Gao,Q.Liu,Exactconvergencerateinthecentrallimittheoremforabranchingrandomwalkwitharandomenvironmentintime,Toappearin Stoch.Process.Appl.(2016).https://hal.archives-ouvertes.fr/hal-01095105.

[6] Z.-Q.Gao,Q.Liu,Second-orderasymptoticexpansionforthedistributionofparticlesinabranchingrandomwalkwitharandomenvironmentintime, https://hal.archives-ouvertes.fr/hal-01244736,2015.

[7]Z.-Q.Gao,Q.Liu,H.Wang,Centrallimittheoremsforabranchingrandomwalkwitharandomenvironmentintime,ActaMath.Sci.Ser.BEngl.Ed.

34 (2)(2014)501–512.

[8]T.E.Harris,TheTheoryofBranchingProcesses,DieGrundlehrenderMathematischenWissenschaften,vol. 119,Springer-Verlag,Berlin,1963.

[9]C.Huang,X.Liang,Q.Liu,Branchingrandomwalkswithrandomenvironmentsintime,Front.Math.China9 (4)(2014)835–842.

[10]Z.Kabluchko,Distributionoflevelsinhigh-dimensionalrandomlandscapes,Ann.Appl.Probab.22 (1)(2012)337–362.

[11]N.Kaplan,S.Asmussen,Branchingrandomwalks.II,Stoch.Process.Appl.4 (1)(1976)15–31.

[12]V.V.Petrov,SumsofIndependentRandomVariables,Springer-Verlag,NewYork,Heidelberg,1975,TranslatedfromtheRussianbyA.A.Brown,Ergeb- nissederMathematikundihrerGrenzgebiete,Band 82.

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