We consider a random walk $\{S_n\}$ with a finite positive drift that is stopped at a random time $\tau$ having an intermediate regularly varying distribution. We assume that the jump distribution is lighter-tailed than the distribution of $\tau$. Under these conditions, we show that the tails of the distributions of $S_{\tau}$ and $M_{\tau} = \max_{k\le \tau} S_k$ are asymptotically equivalent and are determined by the tail of $\tau$, while the random walk $\{S_n\}$ contributes only through the law of large numbers.
Let $\mathcal{C}_\varepsilon$ denote the time it takes a Brownian motion to come within distance $\varepsilon$ of every point in the two dimensional torus $\mathbb{T}^2$ of unit area. We prove that for an explicit non-random centering $m_\varepsilon$, the variables $\{\sqrt{\mathcal{C}_{\varepsilon}} - m_\varepsilon \}...
Menshikov and Volkov [Electron. J. Probab. 13 (2008)] studied recurrence and transience of a class of Markovian random walks on $\mathbb R_+$ whose conditional drift depends on both time and position and is of order $\rho x^\alpha t^{-\beta}$ with $\rho>0$. The case on the critical line $2\beta-\alpha=1$, with $\alpha\...
In this paper we study a linear drift perturbed by a superposition of $m$ independent fractional Brownian motions with known Hurst parameters and a common scale, observed at $N$ equidistant times. Inference for such models is usually asymptotic; we show that here it is exact. We derive the maximum likelihood estimators...
Given a symmetric simple random walk $(X_n)_{n \ge 0}$, the family of all symmetric simple random walks $(Y_n)_{n \ge 0}$ adapted to the filtration of $(X_n)_{n \ge 0}$ was studied in Collevecchio et al. (2022). In particular, the authors established necessary and sufficient conditions under which the suitably normaliz...
Let $(c_t)_{t\geq 0}$ be a deterministic family of edge conductances on a countable vertex set, monotone in $t$, and let $(X_t)$ be the random walk that takes its $t$-th step using the conductances $c_t$. We prove that if $c_t\uparrow c_\infty$ and $c_\infty$ is recurrent (respectively, $c_0$ is transient), then $(X_t)...
Under a fairly general condition on the underlying jump rates, we prove that the Exclusion Process with fixed particle density exhibits cutoff at time $t_{{mix}}\sim \frac{1}{2}{t}_{{rel}} \log N$, where $N$ is the volume and ${t}_{{rel}}$ the relaxation time of the single-particle dynamics. Our result covers, in parti...
J. Hermon, G. Kozma, Justin Salez· 0 citations
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