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 , that provide convergence as of the distributions of the elements of the sequence to this stable law. Let be the minimum of the random walk on the interval . 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 and .
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}
}
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34 pages