Expansions for random walks conditioned to stay positive
Probability
2024-01-19 v1
Abstract
We consider a one-dimensional random walk with i.i.d. increments with zero mean and finite variance. We study the asymptotic expansion for the tail distribution of the first passage times for We also derive asymptotic expansion for local probabilities . Studying the asymptotic expansions we obtain a sequence of discrete polyharmonic functions and obtain analogues of renewal theorem for them.
Keywords
Cite
@article{arxiv.2401.09929,
title = {Expansions for random walks conditioned to stay positive},
author = {Denis Denisov and Alexander Tarasov and Vitali Wachtel},
journal= {arXiv preprint arXiv:2401.09929},
year = {2024}
}
Comments
51 pages