Exit times for integrated random walks

DOI10.1214/13-AIHP577zbMath1310.60049arXiv1207.2270OpenAlexW2075910701MaRDI QIDQ2261595

Denis Denisov, Vitali Wachtel

Publication date: 9 March 2015

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.2270

zbMATH Keywords

harmonic functionMarkov chainexit timenormal approximationWeyl chamberKolmogorov diffusionintegrated random walks

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 (12)

First-passage times for random walks with nonidentically distributed increments ⋮ Limit theorems for affine Markov walks conditioned to stay positive ⋮ Limit theorems for Markov walks conditioned to stay positive under a spectral gap assumption ⋮ Survival exponents for some Gaussian processes ⋮ Invariance principles for integrated random walks conditioned to stay positive ⋮ 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 ⋮ Conditioned local limit theorems for random walks defined on finite Markov chains ⋮ Persistence Probabilities and Exponents ⋮ Probability to be positive for the membrane model in dimensions 2 and 3 ⋮ Random walks in cones

Cites Work

• Unnamed Item
• Persistence of iterated partial sums
• Conditional limit theorems for ordered random walks
• On the probability that integrated random walks stay positive
• Integrated Brownian motion, conditioned to be positive
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Random walks in cones
• Positivity of integrated random walks
• Bounds on the concentration function in terms of the Diophantine approximation
• Pinning and wetting transition for (1\(+\)1)-dimensional fields with Laplacian interaction
• A winding problem for a resonator driven by a white noise
• The approximation of partial sums of independent RV's
• Persistence probabilities for an integrated random walk bridge

This page was built for publication: Exit times for integrated random walks