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On a limit behaviour of a random walk penalised in the lower half-plane

Probability 2021-11-18 v1

Abstract

We consider a random walk S~\tilde S which has different increment distributions in positive and negative half-planes. In the upper half-plane the increments are mean-zero i.i.d. with finite variance. In the lower half-plane we consider two cases: increments are positive i.i.d. random variables with either a slowly varying tail or with a finite expectation. For the distributions with a slowly varying tails, we show that {1nS~(nt)}\{\frac{1}{\sqrt n} \tilde S(nt)\} has no weak limit in \De\De; alternatively, the weak limit is a reflected Brownian motion.

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Cite

@article{arxiv.2106.09941,
  title  = {On a limit behaviour of a random walk penalised in the lower half-plane},
  author = {Andrey Pilipenko and Ben Povar},
  journal= {arXiv preprint arXiv:2106.09941},
  year   = {2021}
}

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8 pages