Spitzer's condition for random walks and Levy processes

被引:32
作者
Bertoin, J [1 ]
Doney, RA [1 ]
机构
[1] UNIV MANCHESTER,DEPT MATH,STAT LAB,MANCHESTER M13 9PL,LANCS,ENGLAND
来源
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1997年 / 33卷 / 02期
关键词
stable laws; ladder variables; arc-sine law; local limit theorems; Wiener-Hopf factorisation;
D O I
10.1016/S0246-0203(97)80120-3
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Spitzer's condition holds for a random walk S if the probabilities rho(n) = P{S-n > 0} converge in Cesaro mean to rho, and for a Levy process X at infinity (at 0, respectively) if t(-1) integral(0)(t) rho(s)ds --> rho as t --> infinity(0), where rho(s) = P{X(s) > 0}. It has been shown in Doney [4] that if 0 < rho < 1 then this happens for a random walk if and only if rho(n) converges to rho. We show here that this result extends to the cases rho = 0 and rho = 1, and also that Spitzer's condition holds for a Levy process at infinity(0) if and only if rho(t) --> rho as t --> infinity(0).
引用
收藏
页码:167 / 178
页数:12
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