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Teoriya Veroyatnostei i ee Primeneniya, 2003, Volume 48, Issue 1, Pages 3–21
DOI: https://doi.org/10.4213/tvp298
(Mi tvp298)
 

This article is cited in 4 scientific papers (total in 4 papers)

Transient phenomena in a random walk

A. K. Aleshkyavichene, S. V. Nagaev

Institute of Mathematics and Informatics
References:
Abstract: The paper studies the limit distributions of the maximum of sums $\max_{1\le k\le n}\sum_{l=1}^k\xi_{n,l}$ for the triangular array $\xi_{n,k}$, $k=1,\ldots,n$, $n=1,2,\ldots\,$, of independent identically distributed random variables in a singular series in cases where $a_n=E\xi_{n,k}\to 0$ and/or 1) $a_n\sqrt n\to\infty$, or 2) $a_n\sqrt n\to-\infty$, or 3) $a_n\sqrt n\to 0$ as $n\to\infty$. The direct proof that the analytic expressions for limit laws coincide was previously obtained by different authors and is given. Moreover, for these transient cases the convergence of the sequence of distributions of maximums to the limit laws is proved with the help of the characteristic functions method.
Keywords: triangular array, maximum of sequential sums, limit distributions, method of characteristic functions.
Received: 17.11.1998
English version:
Theory of Probability and its Applications, 2004, Volume 48, Issue 1, Pages 1–18
DOI: https://doi.org/10.1137/S0040585X980300
Bibliographic databases:
Language: Russian
Citation: A. K. Aleshkyavichene, S. V. Nagaev, “Transient phenomena in a random walk”, Teor. Veroyatnost. i Primenen., 48:1 (2003), 3–21; Theory Probab. Appl., 48:1 (2004), 1–18
Citation in format AMSBIB
\Bibitem{AleNag03}
\by A.~K.~Aleshkyavichene, S.~V.~Nagaev
\paper Transient phenomena in a random walk
\jour Teor. Veroyatnost. i Primenen.
\yr 2003
\vol 48
\issue 1
\pages 3--21
\mathnet{http://mi.mathnet.ru/tvp298}
\crossref{https://doi.org/10.4213/tvp298}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2013402}
\zmath{https://zbmath.org/?q=an:1056.60042}
\transl
\jour Theory Probab. Appl.
\yr 2004
\vol 48
\issue 1
\pages 1--18
\crossref{https://doi.org/10.1137/S0040585X980300}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000220694300001}
Linking options:
  • https://www.mathnet.ru/eng/tvp298
  • https://doi.org/10.4213/tvp298
  • https://www.mathnet.ru/eng/tvp/v48/i1/p3
  • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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