Random walks with sticky barriers

DOI10.15559/22-VMSTA202MaRDI QIDQ2172941zbMATH OpenOpenAlexFDO

Authors Vladyslav Bohun, Alexander Marynych

Publication date 19 September 2022

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15559/22-vmsta202

zbMATH Keywords

functional limit theoremslocally perturbed random walksrandom walk in a striprandom walk with barriersstrong laws of large numbers

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

The authors introduce a new class of multidimensional locally perturbed random walks, which they call random walks with sticky barriers. It generalizes the model in [\textit{D. Bohle} et al., ``A fundamental problem of hypothesis testing with finite inventory in e-commerce, Appl. Stoch. Models Bus. Ind. 37, No. 3, 454--474 (2021; \url{doi:10.1002/asmb.2574})]. First, the paper provides the motivation and informal introduction of the random walks with sticky barriers. Then, the authors formally define the walk and prove the strong laws of large numbers, asymptotic expansions for expectations and functional limit theorem.

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Cited in

(7)

• Random walk weakly attracted to a wall
• Enlargement of obstacles for the simple random walk
• Gene flow across geographical barriers -- scaling limits of random walks with obstacles
• The limit behaviour of random walks with arrests
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• Weak convergence theorem of a nonnegative random walk to sticky reflected Brownian motion
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