Ordered random walks with heavy tails

Details Ordered random walks with heavy tails Ordered random walks with heavy tails

2011-03-23

arxiv.org/abs/1103.4529v1

Mathematics

Probability

20 pages

Scientific paper

This note continues paper of Denisov and Wachtel (2010), where we have constructed a $k$-dimensional random walk conditioned to stay in the Weyl chamber of type $A$. The construction was done under the assumption that the original random walk has $k-1$ moments. In this note we continue the study of killed random walks in the Weyl chamber, and assume that the tail of increments is regularly varying of index $\alpha

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