Drift to Infinity and the Strong Law for Subordinated Random Walks and Lévy Processes

被引:0
作者
K. B. Erickson
Ross A. Maller
机构
[1] University of Washington,Department of Mathematics
[2] Australian National University,Centre for Mathematical Analysis, MSI, and School of Finance and Applied Statistics
来源
Journal of Theoretical Probability | 2005年 / 18卷
关键词
Random walk; random sum; Lévy process; subordinated process; drift to infinity; strong law;
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摘要
We determine conditions under which a subordinated random walk of the form \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$S_{\lfloor N(n)\rfloor}$$\end{document} tends to infinity almost surely (a.s), or \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$S_{\lfloor N(n)\rfloor}/n$$\end{document} tends to infinity a.s., where {N(n)} is a (not necessarily integer valued) renewal process, \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\lfloor N(n)\rfloor}$$\end{document} denotes the integer part of N(n), and Sn is a random walk independent of {N(n)}. Thus we obtain versions of the “Alternatives”, for drift to infinity, or for divergence to infinity in the strong law, for \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$S_{\lfloor N(n)\rfloor}$$\end{document}. A complication is that \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$S_{\lfloor N(n)\rfloor}$$\end{document} is not, in general, itself, a random walk. We can apply the results, for example, to the case when N(n)=λ n, λ > 0, giving conditions for lim \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$_{n} S_{\lfloor \lambda n\rfloor}/n = \infty$$\end{document}, a.s., and lim sup \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$_{n} S_{\lfloor \lambda n\rfloor}/n = \infty$$\end{document}, a.s., etc. For some but not all of our results, N(1) is assumed to have finite expectation. Examples show that this is necessary for the kind of behaviour we consider. The results are also shown to hold in the same degree of generality for subordinated Lévy processes.
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页码:359 / 375
页数:16
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