pith. sign in

arxiv: 0711.1302 · v1 · submitted 2007-11-08 · 🧮 math.PR

Local probabilities for random walks conditioned to stay positive

classification 🧮 math.PR
keywords localprobabilitiesrandomalpha-stableassumingasymptoticattractionbehavior
0
0 comments X
read the original 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 \tau^{-} 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(\tau ^{-}=n) and the conditional local probabilities P(S_n\in [x,x+y)|\tau^{-}>n) for fixed y and x=x(n)\in (0,\infty).

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.