The Growth of Random Walks and Levy Processes
Pruitt, William E.
Ann. Probab., Tome 9 (1981) no. 6, p. 948-956 / Harvested from Project Euclid
Let $\{X_i\}$ be a sequence of independent, identically distributed non-degenerate random variables taking values in $\mathbb{R}^d$ and $S_n = \sum^n_{i = 1} X_i, M_n = \max_{1\leqq i \leqq n} |S_i|$. Define for $x > 0, G(x) = P\{| X_1 | > x\}, K(x) = x^{-2}E(| X_1 |^2 1\{| X_1 | \leq x\}), M(x) = x^{-1} |E(X_1 1\{| X_1 | \leq x\})|,$ and $h(x) = G(x) + K(x) + M(x)$. Then if $\beta = \sup \{\alpha: \lim \sup x^\alpha h(x) = 0\}, \delta = \sup \{\alpha: \lim \inf x^\alpha h(x) = 0\}$, it is proved that $n^{-1/\alpha}M_n \rightarrow 0$ for $\alpha < \beta, \rightarrow \infty$ for $\alpha > \delta$, while the $\lim \inf$ is 0 and the $\lim \sup$ is $\infty$ for $\beta < \alpha < \delta$. Some alternative characterizations of the indices $\beta, \delta$ are obtained as well as the analogous results for Levy processes.
Publié le : 1981-12-14
Classification:  Growth indices,  large values of $|S_n|$,  small values of $M_n$,  expected first passage times,  60F15
@article{1176994266,
     author = {Pruitt, William E.},
     title = {The Growth of Random Walks and Levy Processes},
     journal = {Ann. Probab.},
     volume = {9},
     number = {6},
     year = {1981},
     pages = { 948-956},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994266}
}
Pruitt, William E. The Growth of Random Walks and Levy Processes. Ann. Probab., Tome 9 (1981) no. 6, pp.  948-956. http://gdmltest.u-ga.fr/item/1176994266/