I show that Brownian motion is recurrent for dimensions and but transient for dimensions . Below, I give the technical definition of a recurrent stochastic process:
Definition: (Recurrent Stochastic Process) Let be a stochastic process. We say that is recurrent if for any and any point we have that:
In words, this definition says that if the stochastic process starts out at a point , then if we watch the process forever it will return again and again to within some tiny region of an infinite number of times.
Before I go about proving that Brownian motion is recurrent or transient in different dimensions, I first want to nail down the intuition of what it means for a stochastic process to be recurrent in a more physical sense. To do this, I use the standard real world example for random walks: a drunk leaving a bar.
Example: (A Drunkard’s Flight) Suppose that Arnold is drunk and leaving his local bar. What’s more, Arnold is really inebriated and can only muster enough coordination to move step backwards or step forward each second. Because he is so drunk, he doesn’t have any control which direction he stumbles so you can think about him moving backwards and forwards each second with equal probability . Thus, Arnold’s position relative to the door of the bar is a stochastic process with independent increments. This process is recurrent if Arnold returns to the bar an infinite number of times as we allow him to stumble around all night. Put differently, if Arnold ever has a last drink for the evening and exits the bar for good, then his stumbling process will be transient.
In the context of this toy example, I show that as I allow Arnold to stumble in more and more different directions (backwards vs. forwards, left vs. right, up vs. down, etc…), his probability of returning to the bar decreases. Namely, if Arnold can only move backwards and forwards, then his stumbling will lead him back to his bar an infinite number of times. If he can move backwards and forwards as well as left and right, he will still wander back to the bar an infinite number of times. However, if Arnold either suddenly grows wings (i.e., can move up or down) or happens to be the Terminator (i.e., can time travel to the future or past), at some point his wandering will lead him away from the bar forever.
First, I state and prove Polya’s Theorem which characterizes whether or not a random walk on a lattice is recurrent in each dimension . Then, I show how to extend this result to continuous time Brownian motion using the Central Limit Theorem. I attack this recurrence result for continuous time Brownian motion via Polya’s Recurrence Theorem because I think the intuition is much clearer along this route. I find the direct proof in continuous time which relies on Dynkin’s lemma a bit obscure; whereas, I have a very good feel for what it means to count paths (i.e., possible random walk trajectories) on a grid.
Polya’s Recurrence Theorem
Below, I formulate and prove Polya’s Recurrence Theorem for dimensions .
Theorem: (Polya Recurrence Theorem) Let be the probability that a random walk on a dimensional lattice ever returns to the origin. Then, we have that while .
Before I go any further into the maths, I walk through the physical intuition behind the result. First, imagine the case where drunk Arnold can only move forwards and backwards. In order for Arnold to return to the bar door in steps1, he must take the exact same number of forward and backwards steps. i.e., he has to choose a sequence of steps such that exactly of them are forward. There are choose ways I could do this:
What’s more, I know that the probability of each of the paths Arnold could take is just divided by the total number of paths :
Now consider drunk Arnold’s situation in -dimensions. Here, he must take the exact same number of steps forward and backwards as well as the exact same number of steps left and right. Thus, there are choose ways for Arnold to return to the bar:
What is this sum computing in words? First, suppose that Arnold takes no steps in the left or right directions, then set and the number of paths he could take back to the bar is equal to the number in the -dimensional case. Conversely, if Arnold takes no steps forwards or backwards, set and again you get the -dimensional case. Thus, the number of possible paths Arnold can take back to the bar in -dimensions is strictly larger than in -dimension. However, Arnold can also take paths which mover along both axes. This sum first counts up the number of ways he can make to end up back at his starting point in the left or right directions. Then, it takes the remaining number of steps, and counts the number of ways he can use those steps to return to the starting point in the forwards and backwards direction.
Note that this process doesn’t add that many new returning paths for each new dimension. Every time I add a new dimension, I’m certainly adding fewer than new paths as:
However, each path only happens with probability now. The probability of realizing each possible path is decreasing at a rate of :
Thus, the Polya’s Recurrence Theorem stems from the fact that the number of possible paths back to the origin in growing at a rate that in less than the number of all paths; i.e., the wilderness of paths that do not loop back to the origin is increasing faster than the set of paths which do loop back as we add dimensions.
Below, I prove this result dimension at a time:
Proof: () The probability that Arnold will return to the origin in steps is the number of possible paths times the probability that each of those paths occurs:
Next, in order to derive an analytical characterization of this probability, I use Stirling’s approximation to handle the factorial terms in the binomial coefficient:
Using this approximation and simplifying, I find that:
Thus, if I sum over all possible periods, I get the expected number of times that drunk Arnold will return to the bar for another night cap. I find that this infinite sum diverges:
Proof: () Next, I follow all of the same steps through for the dimensional case:
Summing over all possible path lengths yields a divergent series:
Proof: () The result for is a bit more complicated as there isn’t a nice closed form expression for each of the terms. I start by simplifying as far as I can:
Next, I apply the Multinomial Theorem and note that this probability is maximized when . Thus, if I substitute in this value, I will have an upper bound on the probability :
Summing over all possible path lengths leads to a convergent series, so I know that Arnold may have a final drink at some point during the evening:
Extension to Brownian Motion
Below, I define Brownian motion in dimensions and then show how to extend the results from Polya’s Recurrence Theorem from random walks on a lattice to continuous time Brownian motion.
Brownian motion for dimensions is a natural extension of the dimensional case. I give the formal definition below:
Definition: (Multi-Dimensional Brownian Motion) Brownian motion in is the vector valued process:
To extend Polya’s Recurrence Theorem to continuous time Brownian motion, I just need to apply the Central Limit Theorem and then construct the Brownian motion from the resulting independent Gaussian increments:
Theorem: (deMoivre-Laplace) Let be the number of successful draws from a binomial distribution in tries. Then, when , we can approximate the binomial distribution with the Gaussian distribution with the approximation becoming exact as :
Lemma: (Levy’s Selector) Suppose that and and are random variables defined on the same sample space such that has a distribution which is . Then there exists a random variable such that and are independent with a common distribution.
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