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
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