On the centre of mass of a random walk

Abstract

For a random walk $S_n$ on ${\mathbb{R}}^d$ we study the asymptotic behaviour of the associated centre of mass process $G_n=n^{-1}{\sum }_{i=1}^n{S}_i$. For lattice distributions we give conditions for a local limit theorem to hold. We prove that if the increments of the walk have zero mean and finite second moment, $G_n$ is recurrent if $d=1$ and transient if $d\ge 2$. In the transient case we show that $G_n$ has diffusive rate of escape. These results extend work of Grill, who considered simple symmetric random walk. We also give a class of random walks with symmetric heavy-tailed increments for which $G_n$ is transient in $d=1$.

26 pages, 1 colour figure; v2: minor revision