Growth of Random Walks Conditioned to Stay Positive
Ritter, Grant A.
Ann. Probab., Tome 9 (1981) no. 6, p. 699-704 / Harvested from Project Euclid
For random walk $S_k = \sum^k_{i = 1} \xi_i$ let $T$ be the hitting time of the lower half plane. By conditioning the process $\{S_k\}^n_{k = 1}$ relative to $\lbrack T > n\rbrack$ we create a "random walk conditioned to stay positive." Sample paths of such processes tend to grow rather quickly. In studying this growth we find that except for a set of probability $\epsilon$ all such sample paths have as lower bounds any sequence of the form $\{\delta k^\eta\}^n_{k = 1}$ where $\eta \in (0, 1/2)$ and $\delta < \delta(\epsilon, \eta)$. Applications of this result to sample path behavior of a random walk as it approaches or leaves the lowest of its first $n$ values are also given.
Publié le : 1981-08-14
Classification:  Random walk,  random walk conditioned to stay positive,  60G17,  60J15
@article{1176994378,
     author = {Ritter, Grant A.},
     title = {Growth of Random Walks Conditioned to Stay Positive},
     journal = {Ann. Probab.},
     volume = {9},
     number = {6},
     year = {1981},
     pages = { 699-704},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994378}
}
Ritter, Grant A. Growth of Random Walks Conditioned to Stay Positive. Ann. Probab., Tome 9 (1981) no. 6, pp.  699-704. http://gdmltest.u-ga.fr/item/1176994378/