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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,
caSchoolofMathematicalSciences,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,uneparticuleinitiale∅estsituéeenS∅=
0∈
R.Autempsn=
1,elleestremplacéeparN=
N∅nouvellesparticules∅i
=
i de la génération 1, localisées en Li=
L∅i,
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.
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
Sula 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.IlestbienconnuquelasuiteWn
=
Zn( R )
mn avecm
=
∞i=0
ipi
,
n≥
0,
formeunemartingalenonnégativeparrapportàlafiltrationnaturelle.Supposonsque
m
>
1 et ∞i=1
i
(
lni)
1+λpi< ∞,
(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)où
l
=
xdG
(
x), σ
2=
(
x−
l)
2dG(
x), (
t) =
t−∞
√
1 2π
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 mnu∈Tn
(
Su−
nl)
et N2,n=
1 mnu∈Tn
(
Su−
nl)
2−
nσ
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)alieupourunη >
2,alorsV1:=
nlim→∞N1,nexistep.s.dansR; (ii) si(1)alieupourunλ >
2et(3)alieupourunη >
4,alorsV2:=
nlim→∞N2,nexistep.s.dansR.Pourledévoplopementasymptotique,nousauronsbesoindelaconditiondeCramér :
lim sup
|t|→∞
eitxdG
(
x)
<
1.
(4) Lethéorèmesuivantconcernelecomportementasympotiqued’ordre1danslethéorèmecentrallimite.Théorème0.2.Onsupposelesconditionsdemoment(1)et(3)pourcertains
λ >
8etη >
12,etlaconitiondeCramér(4).Alorsp.s.nousavons :pourtoutt
∈
R,lorsquen→ ∞
, 1mnZn
( −∞ ,
nl+ √
n
σ
t] = (
t)
W+ √
1nV
(
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 >
18etη >
24,etlaconitiondeCramér(4).Alorsp.s., nousavons :pourtoutt∈
R,lorsquen→ ∞
,1
mnZn
((−∞,
nl+ √
n
σ
t]) = (
t)
W+ √
1nV
(
t) +
1nR
(
t) +
o1 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 ancestorparticle∅ islocatedat S∅
=
0.At time1, theinitialparticle∅isreplacedby N=
N∅newparticles∅i=
i ofgeneration1,withdisplacementL∅i=
Li,sothateach particle∅i=
i movestoS∅i=
S∅+
L∅i,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.LetT
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.ItiswellknownthatWn
=
Zn(R)
mn with m
=
∞i=0 ipi
,
isamartingalewithrespecttothenaturalfiltration.Weshallalwayssupposethat m
>
1 and ∞ i=1i
(
lni)
1+λpi< ∞,
(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
conditions(5) forsome
λ >
0 andx2dG
(
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 withφ (
t) = √
1 2π
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 mnu∈Tn
(
Su−
nl)
and N2,n=
1 mnu∈Tn
(
Su−
nl)
2−
nσ
2.
Fortheconvergenceofthesemartingales,wewillneedamomentconditionoftheform
|
x|
ηdG(
x) < ∞, η >
0.
(9)Proposition1.1.Thesequences
{
N1,n}
et{
N2,n}
aremartingaleswithrespecttothenaturalfiltrationD
0= {∅ , } , D
n= σ (
Nu,
Lui:
i≥
1, |
u| <
n)
for n≥
1.
Thesemartingalesconvergea.s.undersimplemomentconditions:
a) if(5)holdsforsome
λ >
1and(9)holdsforsomeη >
2,thenV1:=
nlim→∞N1,nexistsa.s.inR; b) if(5)holdsforsomeλ >
2and(9)holdsforsomeη >
4,thenV2:=
limn→∞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)forsomeη >
12,and(8).Thena.s.wehave:forallt∈
R,asn→ ∞
, 1mnZn
( −∞ ,
nl+ √
n
σ
t] = (
t)
W+ √
1nV
(
t) +
o( √
1n
),
(10)where
V
(
t) = −
1σ φ (
t)
V1+ σ
(3)6
σ
3(
1−
t2
)φ (
t)
W withσ
(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.
Theorem1.3.Assume(5)forsome
λ >
18,(9)forsomeη >
24,and(8).Thena.s.,wehave:forallt∈
R,asn→ ∞
, 1mnZn
(−∞,
nl+ √
n
σ
t] = (
t)
W+ √
1nV
(
t) +
1nR
(
t) +
o1n
,
(12)where
R
(
t) = −
12
σ
2tφ (
t)
V2− σ
(3)6
σ
4H3(
t)φ (
t)
V1−
( σ
(3))
2 72σ
6 H5(
t) +
( σ
(4)−
3σ
4)
24σ
4 H3(
t)
φ (
t)
W,
(13)with
σ
(ν)=
(
x−
l)
νdG(
x)
forν =
3,
4andHm(·)
istheChebyshev–Hermitepolynomialofdegreem:Hm
(
t) =
m!
m2
k=0
(−
1)
ktm−2kk
!(
m−
2k)!
2k(
so that H3(
t) =
t3−
3t,
H5(
t) =
t5−
10t3+
15t).
From[1,Theorem2],weknowthatforeach
λ >
0,thecondition(5)impliesthatWn
−
W=
o(
n−λ)
a.s.WiththisweobtainthefollowingvariantsofTheorems 1.2 and1.3:
Corollary1.4.Assume(5)forsome
λ >
8,(9)forsomeη >
12,and(8).Thena.s.on{
W>
0}
,wehave:fort∈
R,asn→ ∞
, 1Zn
(R)
Zn(−∞,
nl+ √
n
σ
t] = (
t) + √
1 nV
(
t)
W+
o( √
1n
).
Corollary1.5.Assume(5)forsome
λ >
18,(9)forsomeη >
24,and(8).Thena.s.on{
W>
0}
,wehave:forallt∈
R,asn→ ∞
,1 Zn
( R )
Zn( −∞ ,
nl+ √
n
σ
t] = (
t) + √
1 nV
(
t)
W+
1n R
(
t)
W
+
o1 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) =
1mnZn
(
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
Zn−k
(
u,
B−
Su).
(14)Weobtainthefollowingkeydecomposition:
1
mnZn
(( −∞ ,
tn] ) =
1 mknu∈Tkn
Wn−kn
(
u,
tn−
Su) − E
Wn−kn
(
u,
tn−
Su)
Su+
1 mknu∈Tkn
E
Wn−kn
(
u,
tn−
Su)
Su=: A
n+ B
n.
(15)Theorems 1.2 and1.3followfromLemmas 2.1 and2.2respectively.
Lemma2.1.UndertheconditionsofTheorem 1.2,foreachfixedt
∈
R,thefollowingholda.s.asn→ ∞
: (i)√
n
A
n→
0,
(ii)B
n= (
t)
Wkn+ √
1n
σ
(3)6
σ
3(
1−
t2
)φ (
t)
Wkn−
1σ φ (
t)
N1,kn+
o( √
1 n),
(iii) Wkn−
W=
o( √
1n
).
Lemma2.2.UndertheconditionsofTheorem 1.3,foreachfixedt
∈
R,thefollowingholda.s.asn→ ∞
: (i) nA
n→
0,
(ii)
B
n= (
t)
Wkn+ √
1 nσ
(3)6
σ
3(
1−
t2
)φ (
t)
Wkn−
1σ φ (
t)
N1,kn+
1 n−
12
σ
2tφ (
t)
N2,kn− σ
(3)6
σ
4H3(
t)φ (
t)
N1,kn−
( σ
(3))
2 72σ
6 H5(
t) +
( σ
(4)−
3σ
4)
24σ
4 H3(
t)
φ (
t)
Wkn+
o(
1n
),
(iii) Wkn−
W=
o(
1n
),
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.
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