On the probability that integrated random walks stay positive
Probability
2010-05-06 v2
Abstract
Let be a centered random walk with a finite variance, and define the new sequence , which we call an integrated random walk. We are interested in the asymptotics of as . Sinai (1992) proved that if is a simple random walk. We show that 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 for lattice walks and for upper exponential walks, that are the walks such that is an exponential distribution.
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.