Local asymptotics for the area under the random walk excursion
Probability
2017-08-22 v1
Abstract
We study tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and light-tailed increments. We determine the asymptotics for local probabilities for the area and prove a local central limit theorem for the duration of the excursion conditioned on the large values of its area.
Cite
@article{arxiv.1708.06189,
title = {Local asymptotics for the area under the random walk excursion},
author = {Elena Perfilev and Vitali Wachtel},
journal= {arXiv preprint arXiv:1708.06189},
year = {2017}
}
Comments
22 pages