An application of Sparre Andersen's fluctuation theorem for exchangeable and sign-invariant random variables

Authors Quentin Berger, Loïc Béthencourt

Publication date 18 April 2023

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Local time and additive functionals (60J55) Exchangeability for stochastic processes (60G09)

Abstract: We revisit here a famous result by Sparre Andersen on persistence probabilities

m a t h b f P (S_{k} > 0; f o r a l l, 0 l e q k l e q n)

for symmetric random walks

(S_{n})_{n g e q 0}

. We give a short proof of this result when considering sums of random variables that are only assumed exchangeable and sign-invariant. We then apply this result to the study of persistence probabilities of (symmetric) additive functionals of Markov chains, which can be seen as a natural generalization of integrated random walks.

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