Local asymptotics for the area under the random walk excursion

DOI10.1017/APR.2018.26MaRDI QIDQ5215016zbMATH OpenOpenAlexFDO

Authors Elena Perfilev, Vitali Wachtel

Publication date 5 February 2020

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.06189

zbMATH Keywords

excursionrandom walksubexponential distribution

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50)

Abstract: We study tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and light-tailed increments. We determine the asymptotics for local probabilities for the area and prove a local central limit theorem for the duration of the excursion conditioned on the large values of its area.

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Cited in

(11)

• Area distribution for directed random walks
• Fluctuations of shapes of large areas under paths of random walks
• A sharp asymptotics of the partition function for the collapsed interacting partially directed self-avoiding walk
• The tail of the length of an excursion in a trap of random size
• Exit times for integrated random walks
• Limit theorems for random walk excursion conditioned to enclose a typical area
• scientific article; zbMATH DE number 176891 (Why is no real title available?)
• Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
• Local tail asymptotics for the joint distribution of the length and of the maximum of a random walk excursion
• Local asymptotics for the area of random walk excursions
• Asymptotic results for certain first-passage times and areas of renewal processes

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