On conditioning random walks in an exponential family to stay nonnegative

Jean Bertoin; R.A. Doney

Séminaire de probabilités de Strasbourg (1994)

  • Volume: 28, page 116-121

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Bertoin, Jean, and Doney, R.A.. "On conditioning random walks in an exponential family to stay nonnegative." Séminaire de probabilités de Strasbourg 28 (1994): 116-121. <http://eudml.org/doc/113867>.

@article{Bertoin1994,
author = {Bertoin, Jean, Doney, R.A.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {random walk; martingales; -transform; exponential family},
language = {fre},
pages = {116-121},
publisher = {Springer - Lecture Notes in Mathematics},
title = {On conditioning random walks in an exponential family to stay nonnegative},
url = {http://eudml.org/doc/113867},
volume = {28},
year = {1994},
}

TY - JOUR
AU - Bertoin, Jean
AU - Doney, R.A.
TI - On conditioning random walks in an exponential family to stay nonnegative
JO - Séminaire de probabilités de Strasbourg
PY - 1994
PB - Springer - Lecture Notes in Mathematics
VL - 28
SP - 116
EP - 121
LA - fre
KW - random walk; martingales; -transform; exponential family
UR - http://eudml.org/doc/113867
ER -

References

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  1. [1] Bertoin, J. and Doney, R.A.: On conditioning a random walk to stay nonnegative, Ann. Probab. (to appear). Zbl0834.60079MR1331218
  2. [2] Bingham, N.H., Goldie, C.M., and Teugels, J.L.: Regular Variation. Cambridge University Press1987, Cambridge. Zbl0617.26001MR898871
  3. [3] Doob, J.L.: Discrete potential theory and boundaries, J. Math. Mecha.8 (1959), 433-458. Zbl0101.11503MR107098
  4. [4] Keener, R.W.: Limit theorems for random walks conditioned to stay positive, Ann. Probab.20 (1992), 801-824. Zbl0756.60062MR1159575
  5. [5] Petrov, V.V.: On the probability of large deviations for sums of independent random variables, Theory Probab. Appl.10 (1965), 287-97. Zbl0235.60028MR185645
  6. [6] Revuz, D.: Markov Chains. North Holland1975, Amsterdam. Zbl0332.60045MR415773
  7. [7] Spitzer, F.:Principles of Random Walks. Van Nostrand1964, Princeton. Zbl0119.34304MR171290
  8. [8] Veraverbeke, N. and Teugels, J.L.: The exponential rate of convergence of the maximum of a random walk, J. Appl. Prob.12 (1975), 279-288. Zbl0307.60061MR373017

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