Ordered random walks with heavy tails

DOI10.1214/EJP.V17-1719MaRDI QIDQ428605zbMATH OpenOpenAlexFDO

Authors Vitali Wachtel, Denis E. Denisov

Publication date 22 June 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.4529

zbMATH Keywords

Doob \(h\)-transformDyson's Brownian motionMartin boundarysuperharmonic functionWeyl chamber

Mathematics Subject Classification ID

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

Abstract: This note continues paper of Denisov and Wachtel (2010), where we have constructed a $k$-dimensional random walk conditioned to stay in the Weyl chamber of type $A$. The construction was done under the assumption that the original random walk has $k-1$ moments. In this note we continue the study of killed random walks in the Weyl chamber, and assume that the tail of increments is regularly varying of index $alpha<k-1$. It appears that the asymptotic behaviour of random walks is different in this case. We determine the asymptotic behaviour of the exit time, and, using thisinformation, construct a conditioned process which lives on a partial compactification of the Weyl chamber.

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Cited in

(7)

• Ordered random walks
• First-passage times for random walks with nonidentically distributed increments
• Extreme order statistics of random walks
• Ordering of random walks: the leader and the laggard
• Ordered exponential random walks
• Random walks conditioned to stay in Weyl chambers of type C and D
• Conditional limit theorems for ordered random walks

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