Local probabilities for random walks conditioned to stay positive

DOI10.1007/S00440-007-0124-8zbMATH Open1158.60014arXiv0711.1302OpenAlexW2041043703MaRDI QIDQ957726FDOQ957726

Authors: Vladimir Vatutin, Vitali Wachtel 

Publication date: 1 December 2008

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Let S_0=0,{S_n, n>0} be a random walk generated by a sequence of i.i.d. random variables X_1,X_2,... and let au^{-} be the first descending ladder epoch. Assuming that the distribution of X_1 belongs to the domain of attraction of an alpha-stable law we study the asymptotic behavior of the local probabilities P( au ^{-}=n) and the conditional local probabilities P(S_nin [x,x+y)| au^{-}>n) for fixed y and x=x(n)in (0,infty).

Full work available at URL: https://arxiv.org/abs/0711.1302

Recommendations

• Local probabilities for random walks with negative drift conditioned to stay nonnegative
• A local limit theorem for random walks conditioned to stay positive
• On conditioning a random walk to stay nonnegative
• Limit theorems for random walks conditioned to stay positive
• Conditional limit theorems for asymptotically stable random walks

zbMATH Keywords

random walkslimit theoremsstable laws

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Regularly varying functions
• Invariance principles for random walks conditioned to stay positive
• A local limit theorem for random walks conditioned to stay positive
• Title not available (Why is that?)
• On the asymptotic behavior of distributions of first-passage times. II
• The Distribution of the First Ladder Moment and Height and Fluctuation of a Random Walk
• A new fluctuation identity for Lévy processes and some applications
• Stable processes: Sample function growth at a local minimum
• Wiener – hopf factorization revisited and some applications
• Conditioned limit theorems for some null recurrent Markov processes
• Conditional limit theorems for asymptotically stable random walks
• A local limit theorem for first passage time
• A FUNCTIONAL LIMIT THEOREM FOR RANDOM WALK CONDITIONED TO STAY NON-NEGATIVE
• On moments of ladder height variables
• On the exact asymptotic behaviour of the distribution of ladder epochs
• On the existence of the mean ladder height for random walk
• Harmonic renewal measures and bivariate domains of attraction in fluctuation theory
• Spitzer's condition and ladder variables in random walks
• Title not available (Why is that?)

Cited In (52)

• Notes on random walks in the Cauchy domain of attraction
• Small positive values for supercritical branching processes in random environment
• The permuton limit of strong-Baxter and semi-Baxter permutations is the skew Brownian permuton
• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
• Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
• One dimensional lattice random walks with absorption at a point/on a half line
• Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption
• Positivity of integrated random walks
• A note on summability of ladder heights and the distributions of ladder epochs for random walks
• Limit theorems for affine Markov walks conditioned to stay positive
• Conditioned limit theorems for products of random matrices
• On recurrence of the multidimensional Lindley process
• Total population size in critical branching processes in a random environment
• Critical branching processes evolving in a unfavorable random environment
• Conditional \(L^1\)-convergence for the martingale of a critical branching process in random environment
• Limit theorems for random walks conditioned to stay positive
• Local behaviour of first passage probabilities
• Population Size of a Critical Branching Process Evolving in an Unfavorable Environment
• One dimensional random walks killed on a finite set
• Asymptotic behaviour of first passage time distributions for Lévy processes
• Berry-Esseen theorem for random walks conditioned to stay positive
• Path to survival for the critical branching processes in a random environment
• Large deviation results for random walks conditioned to stay positive
• Percolations on random maps. I: Half-plane models
• How many families survive for a long time?
• Limit theorems for random walk excursion conditioned to enclose a typical area
• Local invariance principle for a random walk with zero drift
• Local probabilities for random walks with negative drift conditioned to stay nonnegative
• On extrema of stable processes
• Survival of branching random walks with absorption
• On the maximum of conditioned random walks and tightness for pinning models
• The asymptotic behavior of densities related to the supremum of a stable process
• A local limit theorem for random walks conditioned to stay positive
• The initial evolution stage of a weakly subcritical branching process in a random environment
• Random walks in cones
• Conditioned limit theorems for hyperbolic dynamical systems
• Cramér type moderate deviation for random walks conditioned to stay positive
• The almost sure limits of the minimal position and the additive martingale in a branching random walk
• Local asymptotics for the area under the random walk excursion
• Asymptotic normality of consecutive patterns in permutations encoded by generating trees with one‐dimensional labels
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• Local asymptotics for the area of random walk excursions
• The precise tail behavior of the total progeny of a killed branching random walk
• Bounds in the local limit theorem for a random walk conditioned to stay positive
• A simple path to asymptotics for the frontier of a branching Brownian motion
• Conditioned local limit theorems for random walks defined on finite Markov chains
• On Seneta-Heyde scaling for a stable branching random walk
• Weak convergence for the minimal position in a branching random walk: a simple proof
• On the probability that integrated random walks stay positive
• Infinite random planar maps related to Cauchy processes
• Title not available (Why is that?)
• Local limit theorem for the maximum of asymptotically stable random walks

This page was built for publication: Local probabilities for random walks conditioned to stay positive

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q957726)