Positivity of integrated random walks (Q2438260)

Consider a centered random walk \(S_n\), whose steps have either exponential or (right-continuous skip free) right tails, which, in addition, belong to the domain of normal attraction of a stable law with index \(\alpha\in(1,2]\). The object in focus is ``the integrated random walk'', that is \(\sum_{k=1}^n S_n\), \(n\geq1\). The main result is an asymptotic relation for the probability that the first \(N\) such sums are positive; \(\sim C_{\alpha} N^{1/(2\alpha)-1/2}\), where \(C_{\alpha}\) is a random walk-specific constant. Conditional versions and areas and lengths of excursions of asymptotically stable random walks are also considered. An essential tool is the decomposition into cycles which are separated by the regenerative time points generated by crossings from non-positive partial sums to positive ones of the original random walk.