First-passage times for random walks in the triangular array setting

DOI10.1007/978-3-030-83309-1_10MaRDI QIDQ2080149zbMATH OpenOpenAlexFDO

Authors Denis E. Denisov, Vitali Wachtel, A. I. Sakhanenko

Publication date 7 October 2022

Full work available at URL https://arxiv.org/abs/2005.00240

zbMATH Keywords

central limit theoremfirst-passage timemoving boundaryrandom walktransition phenomenatriangular array

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: In this paper we continue our study of exit times for random walks with independent but not necessarily identical distributed increments. Our paper "First-passage times for random walks with non-identically distributed increments" was devoted to the case when the random walk is constructed by a fixed sequence of independent random variables which satisfies the classical Lindeberg condition. Now we consider a more general situation when we have a triangular array of independent random variables. Our main assumption is that the entries of every row are uniformly bounded by a constant, which tends to zero as the number of the row increases.

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Cites work

• First-passage times for random walks with nonidentically distributed increments
• On the Distribution of the Maximum of Successive Partial Sums of Independent Random Variables
• Refinement of the upper bounds of the constants in Lyapunov's theorem

Cited in

(1)

• On first-passage times for symmetric random walks without Lindeberg condition

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