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arXiv · 2304.09031

An application of Sparre Andersen's fluctuation theorem for exchangeable and sign-invariant random variables

Quentin Berger·Loïc Béthencourt
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Abstract

We revisit here a famous result by Sparre Andersen on persistence probabilities $\mathbf{P}(S_k>0 \;\forall\, 0\leq k\leq n)$ for symmetric random walks $(S_n)_{n\geq 0}$. We give a short proof of this result when considering sums of random variables that are only assumed exchangeable and sign-invariant. We then apply this result to the study of persistence probabilities of (symmetric) additive functionals of Markov chains, which can be seen as a natural generalization of integrated random walks.

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Quentin Berger, Loïc Béthencourt. 2023-04-18. An application of Sparre Andersen's fluctuation theorem for exchangeable and sign-invariant random variables. https://arxiv.org/abs/2304.09031

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