On the prospective minimum of the random walk conditioned to stay non-negative

Abstract

Let \begin{equation*} S_{0}=0,\quad S_{n}=X_{1}+...+X_{n},\ n\geq 1, \end{equation*} be a random walk whose increments belong without centering to the domain of attraction of a stable law with scaling constants $a_n$, that provide convergence as $n\to \infty$ of the distributions of the elements of the sequence $\left\{S_n/a_n,n=1,2,...\right\}$ to this stable law. Let $L_{r,n}={\min }_{r\le m\le n}{S}_m$ be the minimum of the random walk on the interval $[r,n]$. It is shown that \begin{equation*} \lim_{r,k,n\rightarrow \infty }\mathbf{P}\left( L_{r,n}\leq ya_{k}|S_{n}\leq ta_{k},L_{0,n}\geq 0\right) ,\, t\in \left( 0,\infty \right), \end{equation*} can have five different expressions, the forms of which depend on the relationships between the parameters $r,k$ and $n$.

34 pages