• Title of article

    Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative

  • Author/Authors

    Hambly، نويسنده , , B.M. and Kersting، نويسنده , , G. and Kyprianou، نويسنده , , A.E.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2003
  • Pages
    17
  • From page
    327
  • To page
    343
  • Abstract
    We show that under a 3+δ moment condition (where δ>0) there exists a ‘Hartman–Winter’ Law of the iterated logarithm for random walks conditioned to stay non-negative. We also show that under a second moment assumption the conditioned random walk eventually grows faster than n1/2(log n)−(1+ϵ) for any ϵ>0 and yet slower than n1/2(log n)−1. The results are proved using three key facts about conditioned random walks. The first is the relation of its step distribution to that of the original random walk given by Bertoin and Doney (Ann. Probab. 22 (1994) 2152). The second is the pathwise construction in terms of excursions in Tanaka (Tokyo J. Math. 12 (1989) 159) and the third is a new Skorohod-type embedding of the conditioned process in a Bessel-3 process.
  • Keywords
    random walk , Conditioned random walk , Bessel process , Skorohod embedding , Excursions , Law of the iterated logarithm
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2003
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1577316