On the joint distribution of ladder variables of random walk

DOI10.1007/BF01192558zbMath0791.60058OpenAlexW2012889700MaRDI QIDQ1326326

Ronald Arthur Doney, Prescilla E. Greenwood

Publication date: 14 July 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01192558

zbMATH Keywords

ladder heightdomain of attraction of a bivariate stable lawladder time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Related Items

Local behaviour of first passage probabilities ⋮ Invariance principles for local times at the maximum of random walks and Lévy processes ⋮ Invariance principles for random walks conditioned to stay positive ⋮ On a multivariate strong renewal theorem ⋮ Spitzer's condition and ladder variables in random walks ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ A local limit theorem for random walks conditioned to stay positive ⋮ Strong renewal theorems with infinite mean beyond local large deviations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Matrix normalized sums of independent identically distributed random vectors
• On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes
• A bivariate local limit theorem
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• A bivariate stable characterization and domains of attraction
• The Maximum of Sums of Stable Random Variables
• Affine normability of partial sums of I.I.D. random vectors: A characterization
• Tail behaviour of ladder-height distributions in random walks
• Spitzer's condition for asymptotically symmetric random walk
• Harmonic renewal measures and bivariate domains of attraction in fluctuation theory
• Fluctuation theory in continuous time
• A note on a condition satisfied by certain random walks
• On a condition satisfied by certain random walks
• On the behaviour of the characteristic function of a probability distribution in the neighbourhood of the origin
• On the maximum of sums of random variables and the supremum functional for stable processes
• The Distribution of the First Ladder Moment and Height and Fluctuation of a Random Walk