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Teoriya Veroyatnostei i ee Primeneniya, 1998, Volume 43, Issue 4, Pages 711–734
DOI: https://doi.org/10.4213/tvp2028
(Mi tvp2028)
 

Localization vs. delocalization of random discrete measures

S. Albeverioa, L. V. Bogachevb

a Institut für Angewandte Mathematik, Universitat Bonn, Germany
b Faculty of Mechanics and Mathematics, Moscow State University, Moscow
Abstract: Sequences of discrete measures $\mu^{(n)}$ with random atoms $\{\mu_i^{(n)}$, $i=1,2,\ldots\}$ such that $\sum_{i}\mu_i^{(n)}=1$ are considered. The notions of (complete) asymptotic localization vs. delocalization of such measures in the weak (mean or probability) and strong (with probability $1$) sense are proposed and analyzed, proceeding from the standpoint of the largest atoms' behavior as $n\to\infty$. In this framework, the class of measures with the atoms of the form $\mu_i^{(n)}=X_i/S_n$ ($i=1,\ldots,n$) is studied, where $X_1,X_2,\ldots$ is a sequence of positive, independent, identically distributed random variables (with a common distribution function $F$) and $S_n=X_1+\cdots +X_n$. If $\mathbb{E} [X_1] < \infty$, then the law of large numbers implies that $\mu^{(n)}$ is strongly delocalized. The case where $\mathbb{E} [X_1]=\infty$ is studied under the standard assumption that $F$ has a regularly varying upper tail (with exponent $0\le\alpha\le 1$). It is shown that for $\alpha < 1$, weak localization occurs. In the critical point $\alpha =1$, the weak delocalization is established. For $\alpha =0$, localization is strong unless the tail decay is “hardly slow”.
Keywords: random measures, localization, delocalization, extreme terms, order statistics, law of large numbers, regular variation.
Received: 12.11.1997
English version:
Theory of Probability and its Applications, 1999, Volume 43, Issue 4, Pages 519–538
DOI: https://doi.org/10.1137/S0040585X9797715X
Bibliographic databases:
Language: English
Citation: S. Albeverio, L. V. Bogachev, “Localization vs. delocalization of random discrete measures”, Teor. Veroyatnost. i Primenen., 43:4 (1998), 711–734; Theory Probab. Appl., 43:4 (1999), 519–538
Citation in format AMSBIB
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\jour Theory Probab. Appl.
\yr 1999
\vol 43
\issue 4
\pages 519--538
\crossref{https://doi.org/10.1137/S0040585X9797715X}
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