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Universality of local times of killed and reflected random walks. (English) Zbl 1336.60087
Summary: In this note we first consider local times of random walks killed at leaving positive half-axis. We prove that the distribution of the properly rescaled local time at point \(N\) conditioned on being positive converges towards an exponential distribution. The proof is based on known results for conditioned random walks, which allow to determine the asymptotic behaviour of moments of local times. Using this information we also show that the field of local times of a reflected random walk converges in the sense of finite dimensional distributions. This is in the spirit of the seminal result by F. B. Knight [Trans. Am. Math. Soc. 109, 56–86 (1963; Zbl 0119.14604)] who has shown that for the symmetric simple random walk local times converge weakly towards a squared Bessel process. Our result can be seen as an extension of the second Ray-Knight theorem to all asymptotically stable random walks.

MSC:
60G50 Sums of independent random variables; random walks
60G40 Stopping times; optimal stopping problems; gambling theory
60F17 Functional limit theorems; invariance principles
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