On the limit law of a random walk conditioned to reach a high level

DOI10.1016/j.spa.2010.10.007zbMath1225.60076arXiv0712.2637MaRDI QIDQ550133

Anatolii A. Puhalskii, Sergeĭ Georgievich Foss

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.2637

zbMATH Keywords

borderline case; convergence of conditional laws; random walk with negative drift; spectrally positive Lévy process conditioned not to overshoot; tail asymptotics for the supremum

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G50: Sums of independent random variables; random walks

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