Large deviations for the maximum of a branching random walk
Nina Gantert, Thomas Höfelsauer
Abstract
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Nina Gantert, Thomas Höfelsauer
Abstract
Open-access reader
We consider real-valued branching random walks and prove a large deviation result for the position of the rightmost particle. The position of the rightmost particle is the maximum of a collection of a random number of dependent random walks. We characterise the rate function as the solution of a variational problem. We consider the same random number of independent random walks, and show that the maximum of the branching random walk is dominated by the maximum of the independent random walks. For the maximum of independent random walks, we derive a large deviation principle as well. It turns out that the rate functions for upper large deviations coincide, but in general the rate functions for lower large deviations do not.
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We consider real-valued branching random walks and prove a large deviation result for the position of the rightmost particle. The position of the rightmost particle is the maximum of a collection of a random number of dependent random walks. We characterise the rate function as the solution of a variational problem. We consider the same random number of independent random walks, and show that the maximum of the branching random walk is dominated by the maximum of the independent random walks. For the maximum of independent random walks, we derive a large deviation principle as well. It turns out that the rate functions for upper large deviations coincide, but in general the rate functions for lower large deviations do not.
Key concepts: Random walk, Mathematics, Rate function, Large deviations theory, Heterogeneous random walk in one dimension, Statistical physics, Branching random walk, Position (finance)