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Expansions for random walks conditioned to stay positive

Probability 2024-01-19 v1

Abstract

We consider a one-dimensional random walk SnS_n with i.i.d. increments with zero mean and finite variance. We study the asymptotic expansion for the tail distribution P(τx>n)\mathbf P(\tau_x>n) of the first passage times τx:=inf{n1:x+Sn0}\tau_x:=\inf\{n\ge1:x+S_n\le0\} for  x0.\ x\ge0. We also derive asymptotic expansion for local probabilities P(Sn=x,τ0>n)\mathbf P(S_n=x,\tau_0>n). Studying the asymptotic expansions we obtain a sequence of discrete polyharmonic functions and obtain analogues of renewal theorem for them.

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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}
}

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51 pages