Exact asymptotics for the instant of crossing a curve boundary by an asymptotically stable random walk
classification
🧮 math.PR
keywords
asymptoticallyfirstfunctionrandomstablewalkasymptoticasymptotics
read the original abstract
Suppose that $\{S_n,\ n\geq0\}$ is an asymptotically stable random walk. Let $g$ be a positive function and $T_g$ be the first time when $S_n$ leaves $[-g(n),\infty)$. In this paper we study asymptotic behaviour of $T_g$. We provide integral tests for function $g$ that guarantee $P(T_g>n)\sim V(g)P(T_0>n)$ where $T_0$ is the first strict descending ladder epoch of $\{S_n\}$
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.