Invariance principles for local times at the maximum of random walks and Lévy processes

DOI10.1214/09-AOP512zbMath1210.60033arXiv0903.3705OpenAlexW2107635916MaRDI QIDQ989179

Loïc Chaumont, Ronald Arthur Doney

Publication date: 30 August 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.3705

zbMATH Keywords

Lévy processesrandom walksinvariance principlemeanderladder processeslocal time at the supremumprocesses conditioned to stay positive

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Related Items (15)

Zooming in on a Lévy process at its supremum ⋮ The argmin process of random walks, Brownian motion and Lévy processes ⋮ Asymptotic behaviour of first passage time distributions for Lévy processes ⋮ Percolation on Triangulations: A Bijective Path to Liouville Quantum Gravity ⋮ Population Size of a Critical Branching Process Evolving in an Unfavorable Environment ⋮ Lévy processes conditioned to stay in a half-space with applications to directional extremes ⋮ Lévy processes with marked jumps. I: Limit theorems ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Bridges of Lévy processes conditioned to stay positive ⋮ Expected maximum of bridge random walks & Lévy flights ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ First passage times of subordinators and urns ⋮ Limit theorems for local times and applications to SDEs with jumps ⋮ Connectivity properties of the adjacency graph of \(\text{SLE}_{\kappa}\) bubbles for \(\kappa\in(4,8)\) ⋮ Large and moderate deviations for record numbers in some non-nearest neighbor random walks

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time reversal of random walks in one dimension
• Invariance principles for random walks conditioned to stay positive
• On Lévy processes conditioned to stay positive
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• Corrections to ``On Lévy processes conditioned to stay positive
• On a functional central limit theorem for random walks conditioned to stay positive
• On the joint distribution of ladder variables of random walk
• Conditionings and path decompositions for Lévy processes
• Path decompositions for real Lévy processes
• On conditioning a random walk to stay nonnegative
• VOTRE LÉVY RAMPE-T-IL?
• Conditional limit theorems for asymptotically stable random walks
• Some Useful Functions for Functional Limit Theorems
• Harmonic renewal measures and bivariate domains of attraction in fluctuation theory
• Séminaire de Probabilités XXXVIII
• A new fluctuation identity for Lévy processes and some applications

This page was built for publication: Invariance principles for local times at the maximum of random walks and Lévy processes