Universality of local times of killed and reflected random walks

DOI10.1214/15-ECP3995zbMATH Open1336.60087arXiv1412.6184OpenAlexW2964115822MaRDI QIDQ287768FDOQ287768

Authors: Denis E. Denisov, Vitali Wachtel 

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In this note we first consider local times of random walks killed at leaving positive half-axis. We prove that the distribution of the properly rescaled local time at point $N$ conditioned on being positive converges towards an exponential distribution. The proof is based on known results for conditioned random walks, which allow to determine the asymptotic behaviour of moments of local times. Using this information we also show that the field of local times of a reflected random walk converges in the sense of finite dimensional distributions. This is in the spirit of the seminal result by Knight(1963) who has shown that for the symmetric simple random walk local times converge weakly towards a squared Bessel process. Our result can be seen as an extension of the second Ray-Knight theorem to all asymptotically stable random walks.

Full work available at URL: https://arxiv.org/abs/1412.6184

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zbMATH Keywords

random walklocal timesecond Ray-Knight theorem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (3)

• On the derivative martingale in a branching random walk
• Scaling limit of the local time of random walks conditioned to stay positive
• Scaling limit of the local time of the reflected \((1, 2)\)-random walk

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