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Passage times of random walks and Levy processes across power law boundaries

Doney, R A; Maller, Ross

Description

We establish an integral test involving only the distribution of the increments of a random walk S which determines whether lim sup nā†’āˆž(Sn/nk) is almost surely zero, finite or infinite when 1/2 < k < 1 and a typical step in the random walk has zero me

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/83475
Source: Probability Theory and Related Fields
DOI: 10.1007/s00440-004-0414-3

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