Survival probabilities of weighted random walks

zbMATH Open1276.60057arXiv1101.4857MaRDI QIDQ2863700FDOQ2863700

Authors: Frank Aurzada, Christoph Baumgarten 

Publication date: 3 December 2013

Published in: ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: We study the asymptotic behaviour of the probability that a weighted sum of centered i.i.d. random variables X_k does not exceed a constant barrier. For regular random walks, the results follow easily from classical fluctuation theory, while this theory does not carry over to weighted random walks, where essentially nothing seems to be known. First we discuss the case of a polynomial weight function and determine the rate of decay of the above probability for Gaussian X_k. This rate is shown to be universal over a larger class of distributions that obey suitable moment conditions. Finally we discuss the case of an exponential weight function. The mentioned universality does not hold in this setup anymore so that the rate of decay has to be determined separately for different distributions of the X_k. We present some results in the Gaussian framework.

Full work available at URL: https://arxiv.org/abs/1101.4857

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zbMATH Keywords

survival exponentsmall value probabilityone-sided barrier problemdiscrete Ornstein-Uhlenbeck processweighted random walkonesided exit problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

Cited In (11)

• Persistence probabilities of weighted sums of stationary Gaussian sequences
• Universal survival probability for a correlated random walk and applications to records
• First-passage times for random walks with nonidentically distributed increments
• Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
• A limit theorem for the survival probability of a simple random walk among power-law renewal obstacles
• Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials
• Persistence probabilities and exponents
• Persistence of iterated partial sums
• Persistence exponents in Markov chains
• Persistence exponents via perturbation theory: AR(1)-processes
• Persistence of one-dimensional AR(1)-sequences

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