First-passage times for random walks with nonidentically distributed increments

DOI10.1214/17-AOP1248zbMath1434.60126arXiv1611.00493OpenAlexW2547060427WikidataQ129193664 ScholiaQ129193664MaRDI QIDQ1621443

Vitali Wachtel, Denis Denisov, Aleksandr Ivanovich Sakhanenko

Publication date: 8 November 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.00493

zbMATH Keywords

Brownian motionmoving boundaryrandom walkovershootfirst-passage time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Functional limit theorems; invariance principles (60F17)

Related Items (13)

Crossing an asymptotically square-root boundary by the Brownian motion ⋮ Martin boundary of random walks in convex cones ⋮ Statistical properties of sites visited by independent random walks ⋮ On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process ⋮ Invariance principles for random walks in cones ⋮ Persistence probabilities of weighted sums of stationary Gaussian sequences ⋮ First-Passage Times over Moving Boundaries for Asymptotically Stable Walks ⋮ Unnamed Item ⋮ On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process ⋮ Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting) ⋮ Alternative constructions of a harmonic function for a random walk in a cone ⋮ First-passage time asymptotics over moving boundaries for random walk bridges ⋮ First-passage times for random walks in the triangular array setting

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