Persistence of autoregressive sequences with logarithmic tails

DOI10.1214/22-EJP879MaRDI QIDQ2105158

Vitali Wachtel, Martin Kolb, Denis Denisov, Günter Hinrichs

Publication date: 8 December 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.14772

zbMATH Keywords

harmonic function; random walk; exit time; conditioned process

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60G40: Stopping times; optimal stopping problems; gambling theory

60F17: Functional limit theorems; invariance principles

Related Items

Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials

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