Chung–Fuchs theorem

In mathematics, the Chung–Fuchs theorem, named after Wolfgang Heinrich Johannes Fuchs and Chung Kai-lai, states that for a particle undergoing a random walk in m-dimensions, it is certain to come back infinitely often to any neighborhood of the origin on a one-dimensional line (m = 1) or two-dimensional plane (m = 2), but in three or more dimensional spaces it will leave to infinity.

Specifically, if a position of the particle is described by the vector ${\displaystyle X_{n}}$:

${\displaystyle X_{n}=Z_{1}+...+Z_{n}}$

where ${\displaystyle Z_{1},Z_{2},...,Z_{n}}$ are independent m-dimensional vectors with a given multivariate distribution,

then if ${\displaystyle m=1}$, ${\displaystyle E(|Z_{i}|)<\infty }$ and ${\displaystyle E(Z_{i})=0}$, or if ${\displaystyle m=2}$ ${\displaystyle E(|Z_{i}^{2}|)<\infty }$ and ${\displaystyle E(Z_{i})=0}$,

the following holds:

${\displaystyle \forall \epsilon >0}$, ${\displaystyle \Pr(\forall n_{0}\geq 0,\,\exists n\geq n_{0},\,|X_{n}|<\epsilon )=1}$

However, for ${\displaystyle m\geq 3}$,

${\displaystyle \forall A>0}$, ${\displaystyle \Pr(\exists n_{0}\geq 0,\,\forall n\geq n_{0},\,|X_{n}|\geq A)=1}$.

References

• Cox, Miller (1963), The theory of stochastic processes, London: Chapman and Hall Ltd.
• "On the distribution of values of sums of random variables" Chung, K.L. and Fuchs, W.H.J. Mem. Amer. Math. Soc. 1951 no.6, 12pp