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Asymptotic expansions for normal deviations of random walks conditioned to stay positive

Authors :
Denisov, Denis
Tarasov, Alexander
Wachtel, Vitali
Publication Year :
2024

Abstract

We consider a one-dimensional random walk $S_n$ having i.i.d. increments with zero mean and finite variance. We continue our study of asymptotic expansions for local probabilities $\mathbf P(S_n=x,\tau_0>n)$, which has been started in \cite{DTW23}. Obtained there expansions make sense in the zone $x=o(\frac{\sqrt{n}}{\log^{1/2} n})$ only. In the present paper we derive an alternative expansion, which deals with $x$ of order $\sqrt{n}$.<br />Comment: 40 pages

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2412.09145
Document Type :
Working Paper