Invariance principles for the first passage times of perturbed random walks

被引：2

作者：

Larsson-Cohn, L ^{[1
]}

机构：

[1] Uppsala Univ, Dept Math, S-75106 Uppsala, Sweden

来源：

STATISTICS & PROBABILITY LETTERS | 2000年 / 48卷 / 04期

关键词：

perturbed random walk; renewal theory; weak convergence; Brownian motion; Skorohod topologies;

D O I：

10.1016/S0167-7152(00)00015-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove invariance principles for the first passage time process of a perturbed random walk in one or two dimensions. More precisely, weak convergence to Brownian motion with respect to Skorohod's J(1)-topology is proved under suitable conditions on the perturbations. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：347 / 351

页数：5

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