Abstract
We give necessary and sufficient conditions for the almost sure relative stability of the overshoot of a random walk when it exits from a two-sided symmetric region with curved boundaries. The boundaries are of power-law type, ±rn b , r > 0, n = 1, 2,..., where 0 ≤ b < 1, b ≡ 1/2. In these cases, the a.s. stability occurs if and only if the mean step length of the random walk is finite and non-zero, or the step length has a finite variance and mean zero.
| Original language | English |
|---|---|
| Pages (from-to) | 47-63 |
| Number of pages | 17 |
| Journal | Journal of Theoretical Probability |
| Volume | 20 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Mar 2007 |
Fingerprint
Dive into the research topics of 'Almost sure relative stability of the overshoot of power law boundaries'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver