Invariance principle for non-homogeneous random walks

Abstract

We prove an invariance principle for a class of zero-drift spatially non-homogeneous random walks in ${\mathbb R}^d$, which may be recurrent in any dimension. The limit $\mathcal{X} $ is an elliptic martingale diffusion, which may be point-recurrent at the origin for any $d\geq 2$. To characterize $\mathcal{X} $, we introduce a (non-Euclidean) Riemannian metric on the unit sphere in ${\mathbb R}^d$ and use it to express a related spherical diffusion as a Brownian motion with drift. This representation allows us to establish the skew-product decomposition of the excursions of $\mathcal{X} $ and thus develop the excursion theory of $\mathcal{X} $ without appealing to the strong Markov property. This leads to the uniqueness in law of the stochastic differential equation for $\mathcal{X} $ in ${\mathbb R}^d$, whose coefficients are discontinuous at the origin. Using the Riemannian metric we can also detect whether the angular component of the excursions of $\mathcal{X} $ is time-reversible. If so, the excursions of $\mathcal{X} $ in ${\mathbb R}^d$ generalize the classical Pitman–Yor splitting-at-the-maximum property of Bessel excursions.