A class of conditional limit theorems related to ruin problem

DOI10.1214/AOP/1176993658MaRDI QIDQ1836932zbMATH OpenOpenAlexFDO

Authors Michio Shimura

Publication date 1983

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

Full work available at URL https://doi.org/10.1214/aop/1176993658

zbMATH Keywords

conditional limit theoremexcursions

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50)

Cited in

(11)

• Mean valued of a function of a random walk up to the time of the first passage to the semiaxis
• Functional limit theorem for a stopped random walk attaining a high level
• Two-sided problem for the random walk with bounded maximal increment
• On the local time of a stopped random walk attaining a high level
• The scaling limits of the non critical strip wetting model
• Positivity of integrated random walks
• Conditional limit theorems for asymptotically stable random walks
• Conditioned limit theorems for products of positive random matrices
• A limit theorem for two-dimensional conditioned random walk
• Local time of a random walk up to the first passage to the semiaxis
• On the probability that integrated random walks stay positive

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