On random walks with jumps scaled by cumulative sums of random variables

Konstantin Borovkov

Statistics & Probability Letters, 1997, vol. 35, issue 4, 409-416

Abstract: For random walks in which jumps are scaled by cumulative sums of i.i.d.r.v.'s, we establish the strong law of large numbers, CLT-type theorems, and two results related to the distributions of the first hitting times.

Keywords: Gambling; system; Strong; law; of; large; numbers; Functionals; of; Wiener; processes; Boundary; crossing (search for similar items in EconPapers)
Date: 1997
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