Limit theorem for reflected random walks

DOI10.1007/978-3-030-74863-0_6MaRDI QIDQ5016439zbMATH OpenOpenAlexFDO

Authors Marc Peigné, H. L. Ngo

Publication date 13 December 2021

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.01343

zbMATH Keywords

reflected random walks

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: Let $xi$ n , n $in$ N be a sequence of i.i.d. random variables with values in Z. The associated random walk on Z is S(n) = $xi$ 1 + $imes$ $imes$ $imes$ + $xi$ n+1 and the corresponding "reflected walk" on N 0 is the Markov chain X(n), n $in$ N, given by X(0) = x $in$ N 0 and X(n + 1) = |X(n) + $xi$ n+1 | for n $ge$ 0. It is well know that the reflected walk (X(n)) n$ge$0 is null-recurrent when the $xi$ n are square integrable and centered. In this paper, we prove that the process (X(n)) n$ge$0 , properly rescaled, converges in distribution towards the reflected Brownian motion on R + , when E[$xi$ 2 n ] < +$infty$, E[(max(0, --$xi$ n) 3 ] < +$infty$ and the $xi$ n are aperiodic and centered.

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Cited in

(12)

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• scientific article; zbMATH DE number 4015858 (Why is no real title available?)
• scientific article; zbMATH DE number 3905592 (Why is no real title available?)
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• On the reflected random walk on R_+
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