Almost sure relative stability of the overshoot of power law boundaries

DOI10.1007/S10959-006-0040-3MaRDI QIDQ877230zbMATH OpenOpenAlexFDO

Authors Ronald A. Doney, Ross A. Maller

Publication date 19 April 2007

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-006-0040-3

zbMATH Keywords

Random walkCurved boundariesOvershoot of power-law boundaries

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 193660 (Why is no real title available?)
• scientific article; zbMATH DE number 3560403 (Why is no real title available?)
• scientific article; zbMATH DE number 1261202 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Gambler's ruin and the first exit position of random walk from large spheres
• On the position of a random walk at the time of first exit from a sphere
• On the rate of growth of the overshoot and the maximum partial sum
• Overshoots over curved boundaries
• Overshoots over curved boundaries. II
• Random walks crossing curved boundaries: A functional limit theorem, stability and asymptotic distributions for exit times and positions
• Random walks crossing high level curved boundaries
• The growth of random walks and Levy processes
• \(L^ p\)-boundedness of the overshoot in multidimensional renewal theory

Cited in

(4)

• Pruitt's estimates in Banach space
• A lifetime of excursions through random walks and Lévy processes
• Stability of overshoots of zero mean random walks
• Complementary relationships between stability attributes concerning \(n<2\) and \(n>2\) power law \(1/r^n\)-potentials

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