An application of Sparre Andersen's fluctuation theorem for exchangeable and sign-invariant random variables

Abstract

We revisit here a famous result by Sparre Andersen on persistence probabilities $\mathbf{P}(S_k>0\forall 0\le k\le n)$ for symmetric random walks $(S_n{)}_{n\ge 0}$. We give a short proof of this result when considering sums of random variables that are only assumed exchangeable and sign-invariant. We then apply this result to the study of persistence probabilities of (symmetric) additive functionals of Markov chains, which can be seen as a natural generalization of integrated random walks.

14 pages. Some references and content were added in v2, in particular concerning random walk bridges

Cited by in corpus (1)

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