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Theory of Stochastic Processes, 2019, Volume 24(40), Issue 2, Pages 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
References:
Abstract: 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.
Keywords: Functional limit theorem, sticky Brownian motion, perturbed random walks.
Document Type: Article
MSC: 60F17
Language: English
Citation: O. O. Prykhodko, “The limit behaviour of random walks with arrests”, Theory Stoch. Process., 24(40):2 (2019), 79–88
Citation in format AMSBIB
\Bibitem{Pry19}
\by O.~O.~Prykhodko
\paper The limit behaviour of random walks with arrests
\jour Theory Stoch. Process.
\yr 2019
\vol 24(40)
\issue 2
\pages 79--88
\mathnet{http://mi.mathnet.ru/thsp307}
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