Stability of overshoots of zero mean random walks

DOI10.1214/20-EJP463zbMATH Open1459.60094arXiv1812.05909OpenAlexW3035434498MaRDI QIDQ782804FDOQ782804

Vladislav V. Vysotsky, Aleksandar Mijatović

Publication date: 29 July 2020

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

Abstract: We prove that for a random walk on the real line whose increments have zero mean and are either integer-valued or spread out (i.e. the distributions of the steps of the walk are eventually non-singular), the Markov chain of overshoots above a fixed level converges in total variation to its stationary distribution. We find the explicit form of this distribution heuristically and then prove its invariance using a time-reversal argument. If, in addition, the increments of the walk are in the domain of attraction of a non-one-sided $alpha$-stable law with index $alphain(1,2)$ (resp. have finite variance), we establish geometric (resp. uniform) ergodicity for the Markov chain of overshoots. All the convergence results above are also valid for the Markov chain obtained by sampling the walk at the entrance times into an interval.

Full work available at URL: https://arxiv.org/abs/1812.05909

zbMATH Keywords

Markov chainrandom walkstabilityovershootconvergence in total variation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

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Cited In (4)

• Almost sure relative stability of the overshoot of power law boundaries
• Limit theorems for local times and applications to SDEs with jumps
• On overshoots and hitting times for random walks
• Crossings states and sets of states in random walks

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