Compound Poisson approximation for simple transient random walks in random sceneries

Nicolas Chenavier; Ahmad Darwiche; Arnaud Rousselle

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arXiv · 2212.09395

Compound Poisson approximation for simple transient random walks in random sceneries

Nicolas Chenavier·Ahmad Darwiche·Arnaud Rousselle

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Abstract

Given a simple transient random walk $(S_n)_{n\geq 0}$ in $\mathbf{Z}$ and a stationary sequence of real random variables $(\xi(s))_{s\in \mathbf{Z}}$, we investigate the extremes of the sequence $(\xi(S_n))_{n\geq 0}$. Under suitable conditions, we make explicit the extremal index and show that the point process of exceedances converges to a compound Poisson point process. We give two examples for which the cluster size distribution can be made explicit.

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Nicolas Chenavier, Ahmad Darwiche, Arnaud Rousselle. 2022-12-19. Compound Poisson approximation for simple transient random walks in random sceneries. https://arxiv.org/abs/2212.09395

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