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Stopped two-dimensional perturbed random walks and Lévy processes

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  • Gut, Allan

Abstract

Limit theorems for stopped two-dimensional random walks are generalized to perturbed random walks and perturbed Lévy processes. We conclude with an application to repeated significance tests in two-parameter exponential families and an example.

Suggested Citation

  • Gut, Allan, 1997. "Stopped two-dimensional perturbed random walks and Lévy processes," Statistics & Probability Letters, Elsevier, vol. 35(4), pages 317-325, November.
    • Handle: RePEc:eee:stapro:v:35:y:1997:i:4:p:317-325
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    References listed on IDEAS

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    1. Gut, Allan, 1996. "Stopped Lévy processes with applications to first passage times," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 345-352, August.
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    Cited by:

    1. Larsson-Cohn, Lars, 2000. "Invariance principles for the first passage times of perturbed random walks," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 347-351, July.

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