Random walk with heavy tail and negative drift conditioned by its minimum and final values - Archive ouverte HAL
Rapport Année : 2013

Random walk with heavy tail and negative drift conditioned by its minimum and final values

Résumé

We consider random walks with finite second moment which drifts to $-\infty$ and have heavy tail. We focus on the events when the minimum and the final value of this walk belong to some compact set. We first specify the associated probability. Then, conditionally on such an event, we finely describe the trajectory of the random walk. It yields a decomposition theorem with respect to a random time giving a big jump whose distribution can be described explicitly.
Fichier principal
Vignette du fichier
RWheavytailCondBV0111_2013.pdf (184.65 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00917448 , version 1 (11-12-2013)

Identifiants

Citer

Vincent Bansaye, Vladimir Vatutin. Random walk with heavy tail and negative drift conditioned by its minimum and final values. 2013. ⟨hal-00917448⟩
147 Consultations
115 Téléchargements

Altmetric

Partager

More