Level Crossing Probabilities I: One-dimensional Random Walks and Symmetrization
Loading...
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
We prove for an arbitrary one-dimensional random walk with independent increments that the probability of crossing a level at a given time n has the order of square root of n. Moment or symmetry assumptions are not necessary. In removing symmetry the (sharp) inequality P(|X+Y| <= 1) < 2 P(|X-Y| <= 1) for independent identically distributed X,Y is used. In part II we shall discuss the connection of this result to 'polygonal recurrence' of higher-dimensional walks and some conjectures on directionally random walks in the sense of Mauldin, Monticino and v.Weizsaecker [5].
10 pages, some references added, typos corrected
10 pages, some references added, typos corrected