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Positivity of integrated random walks

Vladislav Vysotsky — 2014

Annales de l'I.H.P. Probabilités et statistiques

Take a centered random walk S n and consider the sequence of its partial sums A n : = i = 1 n S i . Suppose S 1 is in the domain of normal attraction of an α -stable law with 1 l t ; α 2 . Assuming that S 1 is either right-exponential (i.e. ( S 1 g t ; x | S 1 g t ; 0 ) = e - a x for some a g t ; 0 and all x g t ; 0 ) or right-continuous (skip free), we prove that { A 1 g t ; 0 , , A N g t ; 0 } C α N 1 / ( 2 α ) - 1 / 2 as N , where C α g t ; 0 depends on the distribution of the walk. We also consider a conditional version of this problem and study positivity of integrated discrete bridges.

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