Conditional limit theorems for the terms of a random walk revisited

DOI10.1239/JAP/1378401242zbMATH Open1284.60049OpenAlexW1975616890MaRDI QIDQ2854086FDOQ2854086

Ernst Schulte-Geers, Shaul K. Bar-Lev, Wolfgang Stadje

Publication date: 17 October 2013

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1378401242

zbMATH Keywords

renewal theoryconditional limit theoremconvergence in total variationsums of i.i.d. random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Renewal theory (60K05)

Cites Work

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• Stochastic simulation: Algorithms and analysis
• Conditional limit theorems for exponential families and finite versions of de Finetti's theorem
• Conditions that cause risk pooling to increase inventory
• Maximum entropy and conditional probability
• Conditional limit theorems for asymptotically stable random walks
• Two conditional limit theorems with applications
• Moment convergence in conditional limit theorems
• Some conditional limit theorems in exponential families
• A conditioned limit theorem for random walk and Brownian local time on square root boundaries
• Conditioned limit theorems and heavy traffic
• A limit theorem for expectations conditional on a sum
• Some results on the joint distribution of the renewal epochs prior to a given time instant
• Thickened renewal processes
• A conditional limit theorem for a random walk with zero drift

Cited In (3)

• Extremes of interarrival times of a Poisson process under conditioning
• Refined behaviour of a conditioned random walk in the large deviations regime
• From risk reduction to risk elimination by conditional mean risk sharing of independent losses

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