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

DOI10.1137/S0040585X97T987740zbMATH Open1375.60088arXiv1403.5918OpenAlexW2962844700MaRDI QIDQ2821767FDOQ2821767

Authors: Vitali Wachtel, Denis E. Denisov 

Publication date: 23 September 2016

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

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 $S_n$

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

Recommendations

• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• Random walks crossing high level curved boundaries
• Asymptotic behaviour of the conditional probability of the nonlinear boundary crossing by a random walk
• Expected number of excursions above curved boundarie by a random walk
• Some asymptotic results for transient random walks

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)

Cites Work

• Title not available (Why is that?)
• Criticality for branching processes in random environment
• Random walks in cones
• The Strong Law of Large Numbers When the Mean is Undefined
• Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative.
• The Crossing Time of a One-Sided Nonlinear Boundary by Sums of Independent Random Variables
• Brownian first exit from and sojourn over one sided moving boundary and application
• Local behaviour of first passage probabilities
• One-Sided Boundary Crossing for Processes with Independent Increments
• A martingale approach in problems on first crossing time of nonlinear boundaries
• Random stopping preserves regular variation of process distributions

Cited In (17)

• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
• Title not available (Why is that?)
• Transience and recurrence of Markov processes with constrained local time
• The asymptotic behavior of the mean sojourn time for a random walk above a receding curvilinear boundary
• Stability theorems and the second-order asymptotics in threshold phenomena for boundary functionals of random walks
• Title not available (Why is that?)
• Title not available (Why is that?)
• Properties of boundary functionals for a random walk with stable jump distributions
• First passage problems over increasing boundaries for Lévy processes with exponentially decayed Lévy measures
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
• Alternative constructions of a harmonic function for a random walk in a cone
• Expected number of excursions above curved boundarie by a random walk
• First-passage time asymptotics over moving boundaries for random walk bridges
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• Random walks crossing curved boundaries: A functional limit theorem, stability and asymptotic distributions for exit times and positions
• Martin boundary of random walks in convex cones

This page was built for publication: An exact asymptotics for the moment of crossing a curved boundary by an asymptotically stable random walk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2821767)