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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
Аннотация:
Let ˜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 ηi≥0; and then continues its way as usual. The random variables η1, η2, … are assumed i.i.d. We study the limit behaviour of this process scaled as in the Donsker theorem. In case of Eηi<∞, 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.
Ключевые слова:
Functional limit theorem, sticky Brownian motion, perturbed random walks.
Образец цитирования:
O. O. Prykhodko, “The limit behaviour of random walks with arrests”, Theory Stoch. Process., 24(40):2 (2019), 79–88
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp307 https://www.mathnet.ru/rus/thsp/v24/i2/p79
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Страница аннотации: | 126 | PDF полного текста: | 46 | Список литературы: | 23 |
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