On the prospective minimum of the random walk conditioned to stay non-negative
| Autor: | Vatutin, Vladimir, Dyakonova, Elena |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | Let \begin{equation*} S_{0}=0,\quad S_{n}=X_{1}+...+X_{n},\ n\geq 1, \end{equation*} be a random walk whose increments belong without centering to the domain of attraction of a stable law with scaling constants $a_{n}$, that provide convergence as $n\rightarrow \infty $ of the distributions of the elements of the sequence $\left\{ S_{n}/a_{n},n=1,2,...\right\} $ to this stable law. Let $L_{r,n}=\min_{r\leq m\leq n}S_{m}$ be the minimum of the random walk on the interval $[r,n]$. It is shown that \begin{equation*} \lim_{r,k,n\rightarrow \infty }\mathbf{P}\left( L_{r,n}\leq ya_{k}|S_{n}\leq ta_{k},L_{0,n}\geq 0\right) ,\, t\in \left( 0,\infty \right), \end{equation*} can have five different expressions, the forms of which depend on the relationships between the parameters $r,k$ and $n$. Comment: 34 pages |
| Databáze: | arXiv |
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