On the limit law of a random walk conditioned to reach a high level

DOI10.1016/J.SPA.2010.10.007MaRDI QIDQ550133zbMATH OpenOpenAlexFDO

Authors A. A. Puhalskii, Sergey Foss

Publication date 8 July 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.2637

zbMATH Keywords

borderline caseconvergence of conditional lawsrandom walk with negative drifttail asymptotics for the supremumspectrally positive Lévy process conditioned not to overshoot

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: We consider a random walk with a negative drift and with a jump distribution which under Cram'er's change of measure belongs to the domain of attraction of a spectrally positive stable law. If conditioned to reach a high level and suitably scaled, this random walk converges in law to a nondecreasing Markov process which can be interpreted as a spectrally-positive L'evy %-Khinchin process conditioned not to overshoot level one.

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Cited in

(13)

• Invariance principles for random walks conditioned to stay positive
• About time of reaching a high level by a random walk in a random environment
• Boundary crossing problems for compound renewal processes
• On the Times of Attaining High Levels by a Random Walk in a Random Environment
• Scaling limits of random walk bridges conditioned to avoid a finite set
• On representations and simulation of conditioned random walks on integer lattices
• Functional limit theorem for a stopped random walk attaining a high level
• Upper bounds for the maximum of a random walk with negative drift
• Limit laws for Brownian motion conditioned to reach a high level
• On hitting the high level by a random walk with delay at the origin
• Customer sojourn time in \(GI/GI/1\) feedback queue in the presence of heavy tails
• Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
• On a structure of a conditioned random walk on the integers with bounded local times

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