English

On the prospective minimum of the random walk conditioned to stay non-negative

Probability 2024-09-05 v1

Abstract

Let \begin{equation*} S_{0}=0,\quad S_{n}=X_{1}+...+X_{n},\ n\geq 1, \end{equation*} be a random walk whose increments belong without centering to the domain of attraction of a stable law with scaling constants ana_{n}, that provide convergence as nn\rightarrow \infty of the distributions of the elements of the sequence {Sn/an,n=1,2,...}\left\{ S_{n}/a_{n},n=1,2,...\right\} to this stable law. Let Lr,n=minrmnSmL_{r,n}=\min_{r\leq m\leq n}S_{m} be the minimum of the random walk on the interval [r,n][r,n]. It is shown that \begin{equation*} \lim_{r,k,n\rightarrow \infty }\mathbf{P}\left( L_{r,n}\leq ya_{k}|S_{n}\leq ta_{k},L_{0,n}\geq 0\right) ,\, t\in \left( 0,\infty \right), \end{equation*} can have five different expressions, the forms of which depend on the relationships between the parameters r,kr,k and nn.

Keywords

Cite

@article{arxiv.2409.02215,
  title  = {On the prospective minimum of the random walk conditioned to stay non-negative},
  author = {Vladimir Vatutin and Elena Dyakonova},
  journal= {arXiv preprint arXiv:2409.02215},
  year   = {2024}
}

Comments

34 pages