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

arXiv2304.09031MaRDI QIDQ6433508FDOQ6433508

Authors: Quentin Berger, Loïc Béthencourt 

Publication date: 18 April 2023

Abstract: We revisit here a famous result by Sparre Andersen on persistence probabilities $mathbfP(S_k>0;forall,0leqkleqn)$ for symmetric random walks $(S_n{)}_{ngeq0}$. 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.

Mathematics Subject Classification ID

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)

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