The Annals of Probability

The Growth of Random Walks and Levy Processes

William E. Pruitt

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Abstract

Let $\{X_i\}$ be a sequence of independent, identically distributed non-degenerate random variables taking values in $\mathbb{R}^d$ and $S_n = \sum^n_{i = 1} X_i, M_n = \max_{1\leqq i \leqq n} |S_i|$. Define for $x > 0, G(x) = P\{| X_1 | > x\}, K(x) = x^{-2}E(| X_1 |^2 1\{| X_1 | \leq x\}), M(x) = x^{-1} |E(X_1 1\{| X_1 | \leq x\})|,$ and $h(x) = G(x) + K(x) + M(x)$. Then if $\beta = \sup \{\alpha: \lim \sup x^\alpha h(x) = 0\}, \delta = \sup \{\alpha: \lim \inf x^\alpha h(x) = 0\}$, it is proved that $n^{-1/\alpha}M_n \rightarrow 0$ for $\alpha < \beta, \rightarrow \infty$ for $\alpha > \delta$, while the $\lim \inf$ is 0 and the $\lim \sup$ is $\infty$ for $\beta < \alpha < \delta$. Some alternative characterizations of the indices $\beta, \delta$ are obtained as well as the analogous results for Levy processes.

Article information

Source
Ann. Probab., Volume 9, Number 6 (1981), 948-956.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176994266

Digital Object Identifier
doi:10.1214/aop/1176994266

Mathematical Reviews number (MathSciNet)
MR632968

Zentralblatt MATH identifier
0477.60033

JSTOR
links.jstor.org

Subjects
Primary: 60F15: Strong theorems

Keywords
Growth indices large values of $|S_n|$ small values of $M_n$ expected first passage times

Citation

Pruitt, William E. The Growth of Random Walks and Levy Processes. Ann. Probab. 9 (1981), no. 6, 948--956. doi:10.1214/aop/1176994266. https://projecteuclid.org/euclid.aop/1176994266


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