Fluctuations of the additive martingales related to super-Brownian motion

Abstract

Let $(W_{t}(λ))_{t\ge 0}$, parametrized by $λ\in\mathbb{R}$, be the additive martingale related to a supercritical super-Brownian motion on the real line and let $W_{\infty}(λ)$ be its limit. Under a natural condition for the martingale limit to be non-degenerate, we investigate the rate at which the martingale approaches its limit. Indeed, assuming certain moment conditions on the branching mechanism, we show that the tail martingale $W_{\infty}(λ)-W_{t}(λ)$, properly normalized, converges in distribution to a non-degenerate random variable, and we identify the limit laws. We find that, for parameters with small absolute value, the fluctuations are affected by the behaviour of the branching mechanism $ψ$ around $0$. In fact, we prove that, in the case of small $|λ|$, when $ψ$ is secondly differentiable at $0$, the limit laws are scale mixtures of the standard normal laws, and when $ψ$ is `stable-like' near $0$ in some proper sense, the limit laws are scale mixtures of the stable laws. However, the effect of the branching mechanism is limited in the case of large $|λ|$. In the latter case, we show that the fluctuations and limit laws are determined by the limiting extremal process of the super-Brownian motion.

Theorems & Definitions (15)

• Theorem 1.1
• Theorem 1.2
• Lemma 2.1
• Proposition 2.2
• Lemma 2.3
• Lemma 2.4
• Lemma 2.5
• Lemma 3.1
• Lemma 3.2
• Lemma 3.3