On the probability that integrated random walks stay positive (Q981020)
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English | On the probability that integrated random walks stay positive |
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On the probability that integrated random walks stay positive (English)
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8 July 2010
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Let \(S_{n}\) be a random walk with \(ES_1=0\) and \(ES_1^2< \infty\), put \(A_{n}=S_1 + \dots +S_{n}\) and \(p_{n}=\mathbb P(\underset{1\leq k\leq n}{\min} A_{k}\geq 0)\). If \(S_{n}\) is a simple random walk, \textit{Ya. G. Sinaĭ} [Theor. Math. Phys. 90, No. 3, 219--241 (1992); translation from Teor. Mat. Fiz. 90, No. 3, 323--353 (1992; Zbl 0810.60063)] proved that \(p_{n}\asymp {n}^{-1/4}\) as \(n\rightarrow \infty\). The author [Ann. Appl. Probab. 18, 1026--1058 (2008; Zbl 1141.60068)] conjectured that always \(p_{n}\asymp {n}^{-1/4}\) as \(n\rightarrow \infty\). In this paper, the author considers several kinds of random walks that support his conjecture.
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integrated random walk
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area of random walk
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one-sided exit probability
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excursion
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area of excursion
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