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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2019, том 24(40), выпуск 2, страницы 79–88 (Mi thsp307)

The limit behaviour of random walks with arrests

O. O. Prykhodko

National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”, Department of Physics and Mathematics, 03056, Kyiv, Ukraine, 37, Peremohy ave

Аннотация: Let $\tilde S$ be a random walk which behaves like a standard centred and square-integrable random walk except when hitting $0$. Upon the $i$-th hit of $0$ the random walk is arrested there for a random amount of time $\eta_i \geq 0$; and then continues its way as usual. The random variables $\eta_1, \ \eta_2, \ \ldots$ are assumed i.i.d. We study the limit behaviour of this process scaled as in the Donsker theorem. In case of $\mathbb E \eta_i < \infty$, weak convergence towards a Wiener process is proved. We also consider the sequence of processes whose arrest times are geometrically distributed and grow with $n$. We prove that the weak limit for the last model is either a Wiener process, a Wiener process stopped at 0 or a Wiener process with a sticky point.

Ключевые слова: Functional limit theorem, sticky Brownian motion, perturbed random walks.

MSC: 60F17

Язык публикации: английский



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