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arxiv: 1207.2270 · v1 · pith:ZRSDNDESnew · submitted 2012-07-10 · 🧮 math.PR

Exit times for integrated random walks

classification 🧮 math.PR
keywords randomwalkasymptoticsfiniteintegratedprobabilityareaassuming
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We consider a centered random walk with finite variance and investigate the asymptotic behaviour of the probability that the area under this walk remains positive up to a large time $n$. Assuming that the moment of order $2+\delta$ is finite, we show that the exact asymptotics for this probability are $n^{-1/4}$. To show these asymptotics we develop a discrete potential theory for the integrated random walk.

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