Exit times for integrated random walks
Probability
2012-07-11 v1
Abstract
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 . Assuming that the moment of order is finite, we show that the exact asymptotics for this probability are . To show these asymptotics we develop a discrete potential theory for the integrated random walk.
Cite
@article{arxiv.1207.2270,
title = {Exit times for integrated random walks},
author = {Denis Denisov and Vitali Wachtel},
journal= {arXiv preprint arXiv:1207.2270},
year = {2012}
}
Comments
24 pages