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 converges, as , towards the Brownian meander.
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}
}