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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2014, том 19(35), выпуск 1, страницы 52–61 (Mi thsp6)

Эта публикация цитируется в 3 статьях

Limit behavior of a simple random walk with non-integrable jump from a barrier

A. Yu. Pilipenkoa, Yu. E. Prykhodkob

a Institute of Mathematics, National Academy of Sciences of Ukraine, Tereshchenkivska str. 3, 01601, Kiev, Ukraine
b NTUU "KPI", 37, Prospect Peremohy, 03056, Kyiv-56, Ukraine

Аннотация: Consider a Markov chain on $\mathbb{Z}_+$ with reflecting barrier at 0 such that jumps of the chain outside of 0 are i.i.d. with mean zero and finite variance. It is assumed that the jump from 0 has a distribution that belongs to the domain of attraction of non-negative stable law. It is proved that under natural scaling of a space and a time a limit of this scaled Markov chain is a Brownian motion with some Wentzell's boundary condition at 0.

Ключевые слова: Random walk; Wentzell's boundary condition; invariance principle.

MSC: 60F17, 60J50, 60J60

Язык публикации: английский



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