First-passage times for random walks with non-identically distributed increments
classification
🧮 math.PR
keywords
incrementsrandomdistributedfirst-passagetimeswalksaboveassuming
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We consider random walks with independent but not necessarily identical distributed increments. Assuming that the increments satisfy the well-known Lindeberg condition, we investigate the asymptotic behaviour of first-passage times over moving boundaries. Furthermore, we prove that a properly rescaled random walk conditioned to stay above the boundary up to time $n$ converges, as $n\to\infty$, towards the Brownian meander.
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