Limit theorems for random walks with absorption

DOI10.1007/S10959-019-00970-5MaRDI QIDQ2224957zbMATH OpenOpenAlexFDO

Authors Micha Buck

Publication date 4 February 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.11681

zbMATH Keywords

absorption timeboundary crossingconditional limit theoremfirst passage timekilled random walklimit theorempersistence probabilityrandom walk

Mathematics Subject Classification ID

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

Abstract: We introduce a class of absorption mechanisms and study the behavior of real-valued centered random walks with finite variance that do not get absorbed. In particular, we prove persistence and scaling limit results, which, in many cases of interests, reduce the analysis of the considered situation to well understood classical persistence and scaling limit questions. Our results cover results in Kemperman (1961) and Vysotsky (2015) and can be applied for many more examples.

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Cited in

(2)

• On identities for a random walk in an orthant with absorbing boundary
• Limit Theorems and Absorption Problems for One-Dimensional Correlated Random Walks

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