On the prospective minimum of the random walk conditioned to stay nonnegative

被引:0
|
作者
Vatutin, Vladimir A. [1 ]
Dyakonova, Elena E. [1 ]
机构
[1] Russian Acad Sci, Steklov Math Inst, Moscow, Russia
来源
DISCRETE MATHEMATICS AND APPLICATIONS | 2024年 / 34卷 / 06期
基金
俄罗斯科学基金会;
关键词
random walks; stable distributions; conditional limit theorems; CRITICAL BRANCHING-PROCESSES; INVARIANCE-PRINCIPLES; LIMIT-THEOREMS;
D O I
10.1515/dma-2024-0030
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Let S-0=0, S-n = X-1 + ... + X-n,X- n >= 1, be a random walk whose increments belong without centering to the domain of attraction of a stable law with scaling constants an, that provide convergence as n ->infinity of the distributions of the elements of the sequence {S-n/a(n),n=1,2,...} to this stable law. Let L-r,L-n = min(r <= m <= n)S(m) be the minimum of the random walk on the interval [r,n]. It is shown that lim(r,k,n ->infinity)P(L-r,L-n <= ya(k )| S-n <= ta(k), L-0,L-n >= 0),t is an element of (0,infinity), can have five different expressions, the forms of which depend on the relationships between the parameters r,k and n.
引用
收藏
页码:337 / 362
页数:26
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