First-passage times over moving boundaries for asymptotically stable walks (1801.04136v1)

Abstract: Let ${S_n, n\geq1}$ be a random walk wih independent and identically distributed increments and let ${g_n,n\geq1}$ be a sequence of real numbers. Let $T_g$ denote the first time when $S_n$ leaves $(g_n,\infty)$. Assume that the random walk is oscillating and asymptotically stable, that is, there exists a sequence ${c_n,n\geq1}$ such that $S_n/c_n$ converges to a stable law. In this paper we determine the tail behaviour of $T_g$ for all oscillating asymptotically stable walks and all boundary sequences satisfying $g_n=o(c_n)$. Furthermore, we prove that the rescaled random walk conditioned to stay above the boundary up to time $n$ converges, as $n\to\infty$, towards the stable meander.