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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 2, Pages 412–417
(Mi tvp3486)
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Short Communications
On the maximum of a simple random walk
V. A. Vatutin Steklov Mathematical Institute, Russian Academy of Sciences
Abstract:
Let $S_0=0$, $S_n=\xi_1+\xi_2+\dots+\xi_n$, $n\ge 1$, be the simple random walk generated by a sequence of independent random variables $\xi_i $, $i=1,2,\dots$, such that $\mathbf{P}\{\xi_i=1\}=1-\mathbf{P}\{\xi_i=-1\}=\frac12$, and let $T$ be the moment of the first return of $S_n$ to the state 0. We find an asymptotic representation for the probability $\mathbf{P}\{\max_{0<k<T}|S_k|>n|T=2N\}$ which is exact (in order), assuming that $n^2 N^{-1}\to\infty$, and $nN^{-1}\le a<1$. The results obtained are used to study the asymptotics of moderate and large deviations of the height of a planted plane tree with $N$ vertices.
Keywords:
random walk, return to zero, moderate and large deviations, the height of a planted plane tree.
Received: 27.03.1992
Citation:
V. A. Vatutin, “On the maximum of a simple random walk”, Teor. Veroyatnost. i Primenen., 40:2 (1995), 412–417; Theory Probab. Appl., 40:2 (1995), 398–402
Linking options:
https://www.mathnet.ru/eng/tvp3486 https://www.mathnet.ru/eng/tvp/v40/i2/p412
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