Speaker
Ayan Bhattacharya (IIT Bombay)
Date & Time
Mon, 30 October 2023, 15:05 to 15:55
Venue
Chern Lecture Hall & Online
Resources
Abstract
We consider the sample average of a centered random walk in the d-dimensional Euclidean space with regularly varying step size distribution. For the first exit time from a compact convex set A not containing the origin, we show that its tail is of lognormal type. Moreover, we show that the typical way for a large exit time to occur is by having a number of jumps growing logarithmically in the scaling parameter. This is a joint work with Zbigniew Palmowski and Bert Zwart and available at https://arxiv.org/abs/1902.09922
Zoom link: https://us02web.zoom.us/j/88670406480
Meeting ID: 886 7040 6480