Largest excess of boundary crossings for martingales (Q1821425): Difference between revisions

Let \(S_ n\), \(n\geq 1\), be a random walk and consider the first passage times min\(\{\) \(n: S_ n>an^{\alpha}\}\), \(a>0\), \(0\leq \alpha <1\). The quantity \(R(a)=S_ n-an^{\alpha}\) is called the overshoot or the excess over the boundary and plays an important role in the study of the first passage times. In this paper the author allows \(S_ n\), \(n\geq 1\), to be a martingale and he studies moments of the largest excess of the boundary.