pith. sign in

arxiv: 1403.5918 · v1 · pith:LG7WRCLKnew · submitted 2014-03-24 · 🧮 math.PR

Exact asymptotics for the instant of crossing a curve boundary by an asymptotically stable random walk

classification 🧮 math.PR
keywords asymptoticallyfirstfunctionrandomstablewalkasymptoticasymptotics
0
0 comments X
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.