Hitting times for the perturbed reflecting random walk

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Serlet, Laurent

关键词: Perturbed random walk;    Once reinforced random walk;    Perturbed Brownian motion;    Hitting times;    Invariance principle;    Recurrence;    Law of the iterated logarithm;   

DOI  :  10.1016/j.spa.2012.09.003

来源: Elsevier

【 摘 要 】

We consider a nearest neighbor random walk on Z which is reflecting at 0 and perturbed when it reaches its maximum. We compute the law of the hitting times and derive many corollaries, especially invariance principles with (rather) explicit descriptions of the asymptotic laws. We also obtain some results on the almost sure asymptotic behavior. As a by-product one can derive results on the reflecting Brownian motion perturbed at its maximum. (C) 2012 Elsevier B.V. All rights reserved.

【 授权许可】

Free