The level crossings of random sums

Authors Christopher Corley, Andrew Ledoan

Publication date 18 December 2020

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Probability theory on algebraic and topological structures (60B99) Sums of independent random variables; random walks (60G50) Zeros of polynomials, rational functions, and other analytic functions of one complex variable (e.g., zeros of functions with bounded Dirichlet integral) (30C15) Random power series in one complex variable (30B20)

Abstract: Let

{e t a_{j}}_{j = 0}^{N}

be a sequence of independent and identically distributed complex normal random variables with mean zero and variances

{s i g m a_{j}^{2}}_{j = 0}^{N}

. Let

{f_{j} (z)}_{j = 0}^{N}

be a sequence of holomorphic functions that are real-valued on the real line. The purpose of the present study is that of examining the number of times that the random sum

s u m_{j = 0}^{N} e t a_{j} f_{j} (z)

crosses the complex level

, where

K_{1}

and

K_{2}

are constants independent of

z

. More specifically, we establish an exact formula for the expected density function for the complex zeros. We then reformulate the problem in terms of successive observations of a Brownian motion. We further answer the basic question about the expected number of complex zeros for coefficients of nonvanishing mean values.

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