Spitzer's condition and ladder variables in random walks |
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Authors: | R A Doney |
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Institution: | (1) Statistical Laboratory, Department of Mathematics, University of Manchester, Oxford Road, M13 9PL Manchester, UK |
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Abstract: | Summary Spitzer's condition holds for a random walk if the probabilities
n
=P{
n
> 0} converge in Cèsaro mean to , where 0< <1. We answer a question which was posed both by Spitzer 12] and by Emery 5] by showing that whenever this happens, it is actually true that n converges to . This also enables us to give an improved version of a result in Doney and Greenwood 4], and show that the random walk is in a domain of attraction, without centering, if and only if the first ladder epoch and height are in a bivariate domain of attraction. |
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Keywords: | 60J15 |
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