Take a centered random walk and consider the sequence of its partial sums . Suppose is in the domain of normal attraction of an -stable law with . Assuming that is either right-exponential (i.e. for some and all ) or right-continuous (skip free), we prove that
Soit une marche aléatoire centrée, nous considérons la suite de ses sommes partielles . Nous supposons que est dans le domaine d’attraction normale d’une loi -stable avec . En supposant que est soit exponentielle à droite (i.e. ), soit continue à droite (i.e. ), nous prouvons que
Keywords: integrated random walk, persistence, one-sided exit probability, unilateral small deviations, area of random walk, Sparre-Andersen theorem, stable excursion, area of excursion
@article{AIHPB_2014__50_1_195_0, author = {Vysotsky, Vladislav}, title = {Positivity of integrated random walks}, journal = {Annales de l'I.H.P. Probabilit\'es et statistiques}, pages = {195--213}, publisher = {Gauthier-Villars}, volume = {50}, number = {1}, year = {2014}, doi = {10.1214/12-AIHP487}, mrnumber = {3161528}, zbl = {1293.60053}, language = {en}, url = {http://archive.numdam.org/articles/10.1214/12-AIHP487/} }
TY - JOUR AU - Vysotsky, Vladislav TI - Positivity of integrated random walks JO - Annales de l'I.H.P. Probabilités et statistiques PY - 2014 SP - 195 EP - 213 VL - 50 IS - 1 PB - Gauthier-Villars UR - http://archive.numdam.org/articles/10.1214/12-AIHP487/ DO - 10.1214/12-AIHP487 LA - en ID - AIHPB_2014__50_1_195_0 ER -
Vysotsky, Vladislav. Positivity of integrated random walks. Annales de l'I.H.P. Probabilités et statistiques, Volume 50 (2014) no. 1, pp. 195-213. doi : 10.1214/12-AIHP487. http://archive.numdam.org/articles/10.1214/12-AIHP487/
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