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arXiv:math/0701914 [math.PR]AbstractReferencesReviewsResources

Local limit theorems for ladder epochs

Vladimir Vatutin, Vitali Wachtel

Published 2007-01-31Version 1

Let {S_n, n=0,1,2,...} be a random walk generated by a sequence of i.i.d. random variables X_1, X_2,... and let tau be the first descending ladder epoch. Assuming that the distribution of X_1 belongs to the domain of attraction of an alpha-stable law, we study the asymptotic behavior of P(tau=n).

Comments: 21 pages
Categories: math.PR
Subjects: 60G50
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