On the asymptotic behaviour of first passage times for transient random walk (Q1102039): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Import240304020342 (talk | contribs)
Set profile property.
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank

Revision as of 02:13, 5 March 2024

scientific article
Language Label Description Also known as
English
On the asymptotic behaviour of first passage times for transient random walk
scientific article

    Statements

    On the asymptotic behaviour of first passage times for transient random walk (English)
    0 references
    1989
    0 references
    Let \(\tau _ x\) denote the time at which a random walk with finite positive mean first passes into (x,\(\infty)\), where \(x\geq 0\). This paper establishes the asymptotic behaviour of \(\Pr \{\tau _ x>n\}\) as \(n\to \infty\) for fixed x in two cases. In the first case the left hand tail of the step-distribution is regularly varying, and in the second the step- distribution satisfies a one-sided Cramér type condition. As a corollary, it follows that in the first case \(\lim _{n\to \infty}\Pr \{\tau _ n>n\}/\Pr \{\tau _ 0>n\}\) coincides with the limit of the same quantity for recurrent random walks satisfying Spitzer's condition, but in the second case the limit is more complicated.
    0 references
    first passage times
    0 references
    regularly varying
    0 references
    recurrent random walk
    0 references

    Identifiers