A local limit theorem for random walks conditioned to stay positive

DOI10.1007/S00440-005-0444-5zbMATH Open1080.60045arXivmath/0406182OpenAlexW3098416427MaRDI QIDQ2575677FDOQ2575677

Francesco Caravenna

Publication date: 6 December 2005

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We consider a real random walk S_n = X_1 + ... + X_n attracted (without centering) to the normal law: this means that for a suitable norming sequence a_n we have the weak convergence S_n / a_n --> f(x) dx, where f(x) is the standard normal density (this happens in particular by the CLT when X_1 has zero mean and finite variance sigma^2, with a_n = sigma sqrt{n}). A local refinement of this convergence is provided by Gnedenko's and Stone's Local Limit Theorems, in the lattice and nonlattice case respectively. Now let C_n denote the event (S_1 > 0, ..., S_n > 0) and let S_n^+ denote the random variable S_n conditioned on C_n: it is known that S_n^+ / a_n --> f^+(x) dd x, where f^+(x) := x exp(-x^2/2) ind_{x > 0}. What we establish in this paper is an equivalent of Gnedenko's and Stone's Local Limit Theorems for this weak convergence. We also consider the particular case when X_1 has an absolutely continuous law: in this case the uniform convergence of the density of S_n^+ / a_n towards f^+(x) holds under a standard additional hypothesis, in analogy to the classical case. We finally discuss an application of our main results to the asymptotic behavior of the joint renewal measure of the ladder variables process. Unlike the classical proofs of the LLT, we make no use of characteristic functions: our techniques are rather taken from the so--called Fluctuation Theory for random walks.

Full work available at URL: https://arxiv.org/abs/math/0406182

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zbMATH Keywords

renewal theoryfluctuation theory

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

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Cited In (35)

• Local probabilities for random walks conditioned to stay positive
• RANDOM WALK CONDITIONED TO STAY POSITIVE
• The symplectic geometry of closed equilateral random walks in 3-space
• Limit theorem for the moment of maximum of a random walk reaching a fixed level in the region of moderate deviations
• A FUNCTIONAL LIMIT THEOREM FOR RANDOM WALK CONDITIONED TO STAY NON-NEGATIVE
• Invariance principles for random walks conditioned to stay positive
• One dimensional lattice random walks with absorption at a point/on a half line
• Convergence in law of the minimum of a branching random walk
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• Limit theorems for affine Markov walks conditioned to stay positive
• Conditioned limit theorems for products of random matrices
• Generalized range of slow random walks on trees
• Positive random walks and an identity for half-space SPDEs
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• Simple random walk on \(\mathbb{Z}^2\) perturbed on the axes (renewal case)
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• One dimensional random walks killed on a finite set
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• Local fluctuations of critical Mandelbrot cascades
• Berry-Esseen theorem for random walks conditioned to stay positive
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• Scaling Limit of the Path Leading to the Leftmost Particle in a Branching Random Walk
• First order transition for the branching random walk at the critical parameter
• Random walks in cones
• Conditioned limit theorems for hyperbolic dynamical systems
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• Exact expressions for the moments of ladder heights
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• Subcritical percolation with a line of defects
• Conditioned local limit theorems for random walks defined on finite Markov chains
• Limit laws for transient random walks in random environment on \(\mathbb Z\)
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• Weak convergence for the minimal position in a branching random walk: a simple proof

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