An Exact Asymptotics for the Moment of Crossing a Curved Boundary by an Asymptotically Stable Random Walk

DOI10.1137/S0040585X97T987740zbMath1375.60088arXiv1403.5918OpenAlexW2962844700MaRDI QIDQ2821767

Denis Denisov, Vitali Wachtel

Publication date: 23 September 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.5918

zbMATH Keywords

moving boundaryfirst passage timeexit timenonlinear boundary

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)

Related Items (9)

Persistence of heavy-tailed sample averages: principle of infinitely many big jumps ⋮ Martin boundary of random walks in convex cones ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ First Passage Problems over Increasing Boundaries for Lévy Processes with Exponentially Decayed Lévy Measures ⋮ First-Passage Times over Moving Boundaries for Asymptotically Stable Walks ⋮ 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 ⋮ Transience and Recurrence of Markov Processes with Constrained Local Time

Cites Work

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• One-Sided Boundary Crossing for Processes with Independent Increments
• Brownian first exit from and sojourn over one sided moving boundary and application
• The Strong Law of Large Numbers When the Mean is Undefined

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