English

First-passage times for random walks with non-identically distributed increments

Probability 2016-11-03 v1

Abstract

We consider random walks with independent but not necessarily identical distributed increments. Assuming that the increments satisfy the well-known Lindeberg condition, we investigate the asymptotic behaviour of first-passage times over moving boundaries. Furthermore, we prove that a properly rescaled random walk conditioned to stay above the boundary up to time nn converges, as nn\to\infty, towards the Brownian meander.

Keywords

Cite

@article{arxiv.1611.00493,
  title  = {First-passage times for random walks with non-identically distributed increments},
  author = {Denis Denisov and Alexander Sakhanenko and Vitali Wachtel},
  journal= {arXiv preprint arXiv:1611.00493},
  year   = {2016}
}
R2 v1 2026-06-22T16:39:26.211Z