Invariance principles for local times at the supremum of random walks and Lévy processes.

Loïc Chaumont (1) , Ron Doney (2)

1 LAREMA - Laboratoire Angevin de Recherche en Mathématiques
2 Department of Mathematics, University of Manchester

We prove that when a sequence of Lévy processes $X^{(n)}$ or a normed sequence of random walks $S^{(n)}$ converges a.s. on the Skorokhod space toward a Lévy process $X$, the sequence $L^{(n)}$ of local times at the supremum of $X^{(n)}$ converges uniformly on compact sets in probability toward the local time at the supremum of $X$. A consequence of this result is that the sequence of (quadrivariate) ladder processes (both ascending and descending) converges jointly in law towards the ladder processes of $X$. As an application, we show that in general, the sequence $S^{(n)}$ conditioned to stay positive converges weakly, jointly with its local time at the future minimum, towards the corresponding functional for the limiting process $X$. From this we deduce an invariance principle for the meander which extends known results for the case of attraction to a stable law.

Mots clés: Invariance principle; local time at the maximum; ladder processes; processes conditioned to stay positive; meander.; meander

Domaines: Probabilités [math.PR]

Loïc Chaumont, Ron Doney. Invariance principles for local times at the supremum of random walks and Lévy processes.. 2009. ⟨hal-00369278⟩