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English

Finite-time trajectorial estimates for inhomogeneous random walks

Number of pages40
Publication date2025-11-12
First online date2025-11-12
Abstract

We consider integer-valued random walks with independent but not identically distributed increments, and extend to this context several classical estimates, including a local limit theorem, precise small-ball estimates (both conditional on the final point and unconditional), and bounds on the probability that the random walk trajectory remains positive up to a given time (again, both conditional on the final point and unconditional). Two key features of this work are that the bounds are non-asymptotic, holding true for finite time horizons, and, crucially, that the latter hold uniformly over an entire class of admissible increment sequences. This provides a robust framework for applications. These results are, in particular, tailored for the analysis of processes derived through a time-dependent tilting of the increments of a time-homogeneous random walk.

Citation (ISO format)
OTT, Sébastien, VELENIK, Yvan. Finite-time trajectorial estimates for inhomogeneous random walks. 2025, p. 40.
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Creation17/11/2025 08:55:32
First validation17/11/2025 10:11:04
Update11/02/2026 15:53:30
Status update11/02/2026 15:53:30
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