On Compactness Properties of the Exit Position of a Random Walk From an Interval (Q4487549)

Let \(S(n)= X_1+\cdots+ X_n\), with \(S(0)= 0\), be a random walk on \(\mathbb{R}\) and \(T_r\) its exit time from \([-r,r]\). The paper derives six necessary and sufficient conditions for tightness of \(|S(T_r)|/r\) as \(r\to\infty\). Two of them are in terms of the tail behaviour of the d.f. of \(X_1\). One states that \(\max\{|S(j)- X^1_j|:j\leq n\}/X^*_n\) has `asymptotically no mass at zero'. Here \(X^1_k\) is the absolutely largest \(X_i\), \(i\leq k\), and \(X^*_k= |X^1_k|\). The other three require normed \(S(n)\) or related random variables to be in certain tightness classes, e.g. \(S^*(n)= \max\{|S(j)|:j\leq n\}\in SC'(D_n)\) means the existence of a nonrandom sequence \(D_n\) so that \(S^*(n)/D_n\) is tight with no limiting distributions of subsequences degenerate at zero. The sequence \(D_n\) is `almost reguarly varying' and satisfies a certain equation. Connections in general between these tightness classes are discussed. The proof implies boundedness and compactness lemmas for a subsequence of \(|S(T_r)|/r\). The conditions resemble a weaker version of those for \(|S(T_r)|/r\to 1\) in probability by the authors [Adv. Appl. Probab. 30, 181-196 (1998; Zbl 0905.60064)].