English

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 nn. Assuming that the moment of order 2+δ2+\delta is finite, we show that the exact asymptotics for this probability are n1/4n^{-1/4}. To show these asymptotics we develop a discrete potential theory for the integrated random walk.

Keywords

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

R2 v1 2026-06-21T21:33:13.034Z