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On the Limit Law of a Random Walk Conditioned to Reach a High Level

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 نشر من قبل Sergey Foss
 تاريخ النشر 2012
  مجال البحث
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We consider a random walk with a negative drift and with a jump distribution which under Cramers change of measure belongs to the domain of attraction of a spectrally positive stable law. If conditioned to reach a high level and suitably scaled, this random walk converges in law to a nondecreasing Markov process which can be interpreted as a spectrally-positive Levy %-Khinchin process conditioned not to overshoot level one.



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