Abstract:
An integer-valued random walk $\{S_i,\, i\geq 0\}$ with zero drift and finite variance $\sigma ^2$ stopped at the time $T$ of the first hit of the semiaxis $(-\infty ,0]$ is considered. For the random process defined for a variable $u>0$ as the number of visits of this walk to the state $\lfloor un\rfloor $ and conditioned on the event $\max _{1\leq i\leq T}S_i>n$, a functional limit theorem on its convergence to the local time of the Brownian high jump is proved.
Keywords:conditional Brownian motion, local time, functional limit theorem.
This work was performed at the Steklov International Mathematical Center and supported by the Ministry of Science and Higher Education of the Russian Federation (agreement no. 075-15-2019-1614).
Citation:
V. I. Afanasyev, “On the Local Time of a Stopped Random Walk Attaining a High Level”, Branching Processes and Related Topics, Collected papers. On the occasion of the 75th birthday of Andrei Mikhailovich Zubkov and 70th birthday of Vladimir Alekseevich Vatutin, Trudy Mat. Inst. Steklova, 316, Steklov Math. Inst., Moscow, 2022, 11–31; Proc. Steklov Inst. Math., 316 (2022), 5–25
\Bibitem{Afa22}
\by V.~I.~Afanasyev
\paper On the Local Time of a Stopped Random Walk Attaining a High Level
\inbook Branching Processes and Related Topics
\bookinfo Collected papers. On the occasion of the 75th birthday of Andrei Mikhailovich Zubkov and 70th birthday of Vladimir Alekseevich Vatutin
\serial Trudy Mat. Inst. Steklova
\yr 2022
\vol 316
\pages 11--31
\publ Steklov Math. Inst.
\publaddr Moscow
\mathnet{http://mi.mathnet.ru/tm4215}
\crossref{https://doi.org/10.4213/tm4215}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2022
\vol 316
\pages 5--25
\crossref{https://doi.org/10.1134/S0081543822010035}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85129337825}
Linking options:
https://www.mathnet.ru/eng/tm4215
https://doi.org/10.4213/tm4215
https://www.mathnet.ru/eng/tm/v316/p11
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