An exact asymptotics for the moment of crossing a curved boundary by an asymptotically stable random walk

DOI10.1137/S0040585X97T987740MaRDI QIDQ2821767zbMATH OpenOpenAlexFDO

Authors Vitali Wachtel, Denis E. Denisov

Publication date 23 September 2016

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.5918

zbMATH Keywords

first passage timemoving boundaryexit timenonlinear boundary

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Sums of independent random variables; random walks (60G50)

Abstract: Suppose that $S_n,ngeq0$ is an asymptotically stable random walk. Let $g$ be a positive function and $T_g$ be the first time when $S_n$ leaves $[-g(n),infty)$. In this paper we study asymptotic behaviour of $T_g$. We provide integral tests for function $g$ that guarantee $P(T_g>n)simV(g)P(T_0>n)$ where $T_0$ is the first strict descending ladder epoch of $S_n$

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Cited in

(17)

• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
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• Transience and recurrence of Markov processes with constrained local time
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