以保持正值为条件的随机游走局部时间的缩放极限

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY Journal of Applied Probability Pub Date : 2024-02-13 DOI:10.1017/jpr.2023.102

Wenming Hong, Mingyang Sun

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引用次数: 0

摘要

我们证明，有条件保持正值的随机游走的局部时间会通过适当的缩放收敛到三维贝塞尔过程的相应局部时间。我们的证明基于田中对有条件随机游走的路径构造和局部时间混合矩的渐近推导。

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Scaling limit of the local time of random walks conditioned to stay positive

We prove that the local time of random walks conditioned to stay positive converges to the corresponding local time of three-dimensional Bessel processes by proper scaling. Our proof is based on Tanaka’s pathwise construction for conditioned random walks and the derivation of asymptotics for mixed moments of the local time.

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来源期刊

Journal of Applied Probability 数学-统计学与概率论

CiteScore

1.50

自引率

10.00%

发文量

审稿时长

6-12 weeks

期刊介绍： Journal of Applied Probability is the oldest journal devoted to the publication of research in the field of applied probability. It is an international journal published by the Applied Probability Trust, and it serves as a companion publication to the Advances in Applied Probability. Its wide audience includes leading researchers across the entire spectrum of applied probability, including biosciences applications, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used. A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.