Expansions for random walks conditioned to stay positive
arxiv(2024)
摘要
We consider a one-dimensional random walk S_n with i.i.d. increments with
zero mean and finite variance. We study the asymptotic expansion for the tail
distribution 𝐏(τ_x>n) of the first passage times
τ_x:=inf{n≥1:x+S_n≤0} for x≥0. We also derive asymptotic
expansion for local probabilities 𝐏(S_n=x,τ_0>n). Studying the
asymptotic expansions we obtain a sequence of discrete polyharmonic functions
and obtain analogues of renewal theorem for them.
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