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arXiv 0904.4127math.PR
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独立随机乘积和的极限分布

Limiting Distributions for Sums of Independent Random Products

Zakhar Kabluchko

摘要:

令$\{X_{i,j}:(i,j)\in\mathbb N^2\}$是随机变量$X$的独立副本的二维数组,并且令$\{N_n\}_{n\in\mathbb N}$是自然数序列,使得对于某个$c>0$,$\lim_{n\to\infty}e^{-cn}N_n=1$。我们的主要目标是独立随机乘积之和$$Z_n=\sum_{i=1}^{N_n} \prod_{j=1}^{n}e^{X_{i,j}}.$$。结果表明,$Z_n$的极限性质,如$n\to\infty$,在两个临界点$c=c_1$和$c=c_2$经历相变。也就是说,如果$c>c_2$,那么$Z_n$满足中心极限定理与通常的正规化,而对于$c<c_2$,一个完全倾斜的$α$稳定的法律出现在极限。此外,$Z_n/\mathbb E Z_n$概率收敛于1当且仅当$c>c_1$。如果随机变量$X$是高斯的,我们恢复Bovier,Kurkova和Löwe的结果[REM和$p$ -自旋SK模型中自由能的波动。安。可能。30(2002),605-651]。

英文摘要:

Let $\{X_{i,j}:(i,j)\in\mathbb N^2\}$ be a two-dimensional array of independent copies of a random variable $X$, and let $\{N_n\}_{n\in\mathbb N}$ be a sequence of natural numbers such that $\lim_{n\to\infty}e^{-cn}N_n=1$ for some $c>0$. Our main object of interest is the sum of independent random products $$Z_n=\sum_{i=1}^{N_n} \prod_{j=1}^{n}e^{X_{i,j}}.$$ It is shown that the limiting properties of $Z_n$, as $n\to\infty$, undergo phase transitions at two critical points $c=c_1$ and $c=c_2$. Namely, if $c>c_2$, then $Z_n$ satisfies the central limit theorem with the usual normalization, whereas for $c<c_2$, a totally skewed $α$-stable law appears in the limit. Further, $Z_n/\mathbb E Z_n$ converges in probability to 1 if and only if $c>c_1$. If the random variable $X$ is Gaussian, we recover the results of Bovier, Kurkova, and Löwe [Fluctuations of the free energy in the REM and the $p$-spin SK models. Ann. Probab. 30(2002), 605-651].

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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