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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1980 Volume 25, Issue 3, Pages 588–592 (Mi tvp1097)

This article is cited in 2 papers

Short Communications

Limit distribution for a random walk with absorption

A. V. Pečinkin

Moscow

Abstract: Let $\xi_1,\xi_2,\dots$ are independent identically distributed random variables, $\mathbf M\xi_1=0$, $\mathbf D\xi_1=1$ and
$$ S_n=n^{-1/2}(\xi_1+\dots+\xi_n),\qquad\nu=\min\{n:S_n<0\}. $$
We show that
$$ \mathbf P\{S_\nu<x\mid\nu>n\}\to V(x),\qquad\mathbf P\{S_n<x\mid\nu>n\}\to 1-e^{-x^2/2}. $$


Received: 03.04.1978


 English version:
Theory of Probability and its Applications, 1981, 25:3, 580–584

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