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JOURNALS // Trudy Matematicheskogo Instituta imeni V.A. Steklova // Archive

Trudy Mat. Inst. Steklova, 2022 Volume 316, Pages 11–31 (Mi tm4215)

This article is cited in 2 papers

On the Local Time of a Stopped Random Walk Attaining a High Level

V. I. Afanasyev

Steklov Mathematical Institute of Russian Academy of Sciences, ul. Gubkina 8, Moscow, 119991 Russia

Abstract: An integer-valued random walk $\{S_i,\, i\geq 0\}$ with zero drift and finite variance $\sigma ^2$ stopped at the time $T$ of the first hit of the semiaxis $(-\infty ,0]$ is considered. For the random process defined for a variable $u>0$ as the number of visits of this walk to the state $\lfloor un\rfloor $ and conditioned on the event $\max _{1\leq i\leq T}S_i>n$, a functional limit theorem on its convergence to the local time of the Brownian high jump is proved.

Keywords: conditional Brownian motion, local time, functional limit theorem.

UDC: 519.214.6

Received: April 21, 2021
Revised: June 17, 2021
Accepted: July 26, 2021

DOI: 10.4213/tm4215


 English version:
Proceedings of the Steklov Institute of Mathematics, 2022, 316, 5–25

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© Steklov Math. Inst. of RAS, 2025