Ron Doney

most citedCurve crossing for random walks reflected at their maximum

7 citations · 8 across the 2 of their papers we have counts for

collaborators

Showing math.PRShow all

2 papers · 1 filter

math.PR2009★ 1 cited

Invariance principles for local times at the supremum of random walks and Lévy processes

Loïc Chaumont, Ron Arthur Doney

We prove that when a sequence of Lévy processes $X^{(n)}$ or a normed sequence of random walks $S^{(n)}$ converges a.s. on the Skorokhod space toward a Lévy process $X$ , the sequen…

math.PR2007★ 7 cited

Curve crossing for random walks reflected at their maximum

Ron Doney, Ross Maller

Let $R_{n} = max_{0 \leq j \leq n} S_{j} - S_{n}$ be a random walk $S_{n}$ reflected in its maximum. Except in the trivial case when $P (X \geq 0) = 1$ , $R_{n}$ will pass over a horizontal boundary of a…