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Theory of Stochastic Processes, 2014, Volume 19(35), Issue 1, Pages 52–61 (Mi thsp6)  

This article is cited in 3 scientific papers (total in 3 papers)

Limit behavior of a simple random walk with non-integrable jump from a barrier

A. Yu. Pilipenkoa, Yu. E. Prykhodkob

a Institute of Mathematics, National Academy of Sciences of Ukraine, Tereshchenkivska str. 3, 01601, Kiev, Ukraine
b NTUU "KPI", 37, Prospect Peremohy, 03056, Kyiv-56, Ukraine
Full-text PDF (276 kB) Citations (3)
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Abstract: Consider a Markov chain on $\mathbb{Z}_+$ with reflecting barrier at 0 such that jumps of the chain outside of 0 are i.i.d. with mean zero and finite variance. It is assumed that the jump from 0 has a distribution that belongs to the domain of attraction of non-negative stable law. It is proved that under natural scaling of a space and a time a limit of this scaled Markov chain is a Brownian motion with some Wentzell's boundary condition at 0.
Keywords: Random walk; Wentzell's boundary condition; invariance principle.
Funding agency Grant number
Russian Foundation for Basic Research 14-01-90406_Укр_а
This work was partially supported by the Presidium of National Academy of Sciences of Ukraine as part of the joint scientific project with the Russian foundation of fundamental research, project number 09-01-14.
Bibliographic databases:
Document Type: Article
MSC: 60F17, 60J50, 60J60
Language: English
Citation: A. Yu. Pilipenko, Yu. E. Prykhodko, “Limit behavior of a simple random walk with non-integrable jump from a barrier”, Theory Stoch. Process., 19(35):1 (2014), 52–61
Citation in format AMSBIB
\Bibitem{PilPry14}
\by A.~Yu.~Pilipenko, Yu.~E.~Prykhodko
\paper Limit behavior of a simple random walk with non-integrable jump from a barrier
\jour Theory Stoch. Process.
\yr 2014
\vol 19(35)
\issue 1
\pages 52--61
\mathnet{http://mi.mathnet.ru/thsp6}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=3337134}
\zmath{https://zbmath.org/?q=an:1313.60062}
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  • https://www.mathnet.ru/eng/thsp/v19/i1/p52
  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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