Hitting times for the perturbed reflecting random walk

We consider a nearest neighbor random walk on Z which is reflecting at 0 and perturbed when it reaches its maximum. We compute the law of the hitting times and derive many corollaries, especially invariance principles with (rather) explicit descriptions of the asymptotic laws. We also obtain some results on the almost sure asymptotic behavior. As a by-product one can derive results on the reflecting Brownian motion perturbed at its maximum.

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Year of publication:	2013
Authors:	Serlet, Laurent
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 1, p. 110-130
Publisher:	Elsevier
Subject:	Perturbed random walk \| Once reinforced random walk \| Perturbed Brownian motion \| Hitting times \| Invariance principle \| Recurrence \| Law of the iterated logarithm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010591888