Nonlinear renewal theory for conditional random walks

DOI10.1214/AOP/1176990553MaRDI QIDQ803667zbMATH OpenOpenAlexFDO

Authors Inchi Hu

Publication date 1991

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176990553

zbMATH Keywords

boundary crossingconditional random walknonlinear renewal theory

Mathematics Subject Classification ID

Renewal theory (60K05) Other physical applications of random processes (60K40) Paired and multiple comparisons; multiple testing (62J15)

Review text

The author studies the limit behaviour as \(m\to \infty\) of marginal and joint distributions of the random variables \[ T_ m=\inf \{n\geq m_ 0: mH(S^ 0_ n/n,\quad n/m)>0\}\text{ and } mH(S^ 0_{T_ m}/m,\quad T_ m/m), \] where H(\(\cdot)\) is a smooth function from \(R^{d+1}\) to R; \(\{S^ 0_ n\); \(n\leq m\}\) is the so-called conditional random walk which is generated by the standard d-dimensional random walk under fixed position at the last time moment m.

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Cited in

(5)

• The time until the final zero crossing of random sums with application to nonparametric bandit theory
• On the nonlinear renewal theorem
• A uniform renewal theorem
• Approximations to expected stopping times with applications to sequential estimation
• The maximal displacement of radially symmetric branching random walk in \(\mathbb{R}^d\)

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