Limit theorems in a boundary crossing problem for random walks

DOI10.1007/BF02674722MaRDI QIDQ1975810zbMATH OpenOpenAlexFDO

Authors V. I. Lotov

Publication date 4 May 2000

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02674722

zbMATH Keywords

boundary crossing problemfactorization methodfirst exit time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Boundary theory for Markov processes (60J50)

Review text

Let \(\xi_1, \xi_2, \dots\) be independent identically distributed random variables satisfying the Cramér condition, \(S_n=\xi_1+\cdots+\xi_n\). For \(a\geq 0\) and \(b>0\), put \(N=N_{a,b}=\min\{n\geq 1:S_n\notin[-a,b)\}\). Asymptotic representations for the joint distribution of the pair \((N,S_N)\), as \(a+b\to\infty\), are suggested. The results are formulated in terms of the factorization components. The special case in which \({\mathbb E} \xi_1=0\) and \(a,b\to\infty\) was previously treated by the author [Theory Probab. Appl. 24, 480-491 (1980), translation from Teor. Veroyatn. Primen. 24, 475-485 (1979; Zbl 0408.60050); ibid. 24, 869-876 (1980) resp. ibid. 24, 873-879 (1979; Zbl 0416.60059) and Tr. Inst. Mat. 1, 18-25 (1982; Zbl 0513.60069)].

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Cites work

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Cited in

(18)

• Bounds for the probability to leave the interval
• On hitting the high level by a random walk with delay at the origin
• On some inequalities in boundary crossing problems for random walks
• Asymptotic expansions for the distribution of the sojourn time of a random walk on a half-axis
• A limit law for random walks with physical applications
• On a random walk with switchings
• Estimates for overshooting an arbitrary boundary by a random walk and their applications
• Approximation of the expectation of the first exit time from an interval for a random walk
• scientific article; zbMATH DE number 3896004 (Why is no real title available?)
• Analysis of the distribution of a random process with differential semi-Markov walk with delaying screen at zero
• scientific article; zbMATH DE number 2154074 (Why is no real title available?)
• Constructive approach to limit theorems for recurrent diffusive random walks on a strip
• On a limit behaviour of a random walk penalised in the lower half-plane
• On the asymptotics of the ruin probability
• Integral Limit Theorems for Nonlinear Boundary Crossing Time by Sums of Independent Variables
• Exact formulas in some boundary crossing problems for integer-valued random walks
• On the sojourn time of a random walk in a strip
• Limit theorems for projections of random walk on a hypersphere

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