Convergence of the derivative martingale for the branching random walk in time-inhomogeneous random environment
Wenming Hong, Shengli Liang

TL;DR
This paper establishes a necessary and sufficient condition for the non-trivial limit of the derivative martingale in a branching random walk with a time-inhomogeneous random environment, using advanced techniques in RWRE analysis.
Contribution
It introduces a new criterion for the derivative martingale's non-triviality in BRWRE and develops Tanaka's decomposition for RWRE conditioned to stay non-negative.
Findings
Derived a necessary and sufficient condition for martingale non-triviality.
Developed Tanaka's decomposition for RWRE conditioned to stay positive.
Linked BRWRE behavior to RWRE properties via many-to-one formula.
Abstract
Consider a branching random walk on the real line with a random environment in time (BRWRE). A necessary and sufficient condition for the non-triviality of the limit of the derivative martingale is formulated. To this end, we investigate the random walk in time-inhomogeneous random environment (RWRE), which related the BRWRE by the many-to-one formula. The key step is to figure out Tanaka's decomposition for the RWRE conditioned to stay non-negative (or above a line), which is interesting itself as well.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStochastic processes and statistical mechanics · Stochastic processes and financial applications · Markov Chains and Monte Carlo Methods
