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JOURNALS // Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports] // Archive

Sib. Èlektron. Mat. Izv., 2023 Volume 20, Issue 1, Pages 455–464 (Mi semr1590)

Probability theory and mathematical statistics

Properties of boundary functionals for a random walk with stable jump distributions

V. I. Lotov

Sobolev Institute of Mathematics, pr. Koptyuga, 4, 630090, Novosibirsk, Russia

Abstract: For a random walk with jumps having strictly stable distributions, we obtain theorems that characterize properties of ladder epochs and ladder heights. We also give exact expressions for the distribution of the sojourn time of the random walk trajectory on the positive semi-axis for a finite number of steps.

Keywords: random walk, ladder epoch, ladder height, strictly stable distribution, sojourn time on the semi-axis.

UDC: 519.21

MSC: 60G50

Received January 18, 2023, published July 3, 2023

DOI: 10.33048/semi.2023.20.026



© Steklov Math. Inst. of RAS, 2025