Bootstrap Random Walks

Abstract

Consider a one dimensional simple random walk $X=(X_n{)}_{n\ge 0}$. We form a new simple symmetric random walk $Y=(Y_n{)}_{n\ge 0}$ by taking sums of products of the increments of $X$ and study the two-dimensional walk $(X,Y)=((X_n,Y_n){)}_{n\ge 0}$. We show that it is recurrent and when suitably normalised converges to a two-dimensional Brownian motion with independent components; this independence occurs despite the functional dependence between the pre-limit processes. The process of recycling increments in this way is repeated and a multi-dimensional analog of this limit theorem together with a transience result are obtained. The construction and results are extended to include the case where the increments take values in a finite set (not necessarily $\{-1,+1\}$).