English

On the probability that integrated random walks stay positive

Probability 2010-05-06 v2

Abstract

Let SnS_n be a centered random walk with a finite variance, and define the new sequence An:=i=1nSiA_n:=\sum_{i=1}^n S_i, which we call an integrated random walk. We are interested in the asymptotics of pN:=P(min1kNAk0)p_N:=P(\min_{1 \le k \le N} A_k \ge 0) as NN \to \infty. Sinai (1992) proved that pNN1/4p_N \asymp N^{-1/4} if SnS_n is a simple random walk. We show that pNN1/4p_N \asymp N^{-1/4} for some other types of random walks that include double-sided exponential and double-sided geometric walks, both not necessarily symmetric. We also prove that pNcN1/4p_N \le c N^{-1/4} for lattice walks and for upper exponential walks, that are the walks such that Law(S1S1>0)Law (S_1 | S_1>0) is an exponential distribution.

Keywords

Cite

@article{arxiv.0911.5456,
  title  = {On the probability that integrated random walks stay positive},
  author = {Vladislav Vysotsky},
  journal= {arXiv preprint arXiv:0911.5456},
  year   = {2010}
}

Comments

Theorems 2 and 3 were restated and merged into one theorem; a new lemma (Lemma 1) added; Lemma 3 and Remark 1 were restated and merged into Proposition 1; the proof of Lemma 3 is reworked. The paper is accepted to SPA.

R2 v1 2026-06-21T14:17:20.043Z