A note on the maximum of a random walk (Q1892953): Difference between revisions

Let \(\{S_n, n \geq 1\}\) be an integer-valued aperiodic random walk with negative drift. Denote \(M = \sup (0,S_1, S_2, \ldots)\), \(M_+ = \max (0,S_1, \ldots, S_\alpha)\), where \(\alpha = \inf \{n \geq 1 : S_n \leq 0\}\). The author proves that each of the two conditions \(P(M = n) \sim c \gamma^{- n}\) (Theorem 1), \(P(M_+ \geq n) \sim d \gamma^{- n}\) (Theorem 2) implies \(E \gamma^{S_1} = 1\) (here \(c > 0\), \(d > 0\), and \(\gamma > 1\) are some constants). Remark. There is a little point in the two-page proof of Theorem 1 because the function \((1 - Ez^{S_1}) Ez^M\) is finite for \(z = \gamma\) (this function multiplied by a constant equals well-known Wiener- Hopf factor, which is analytic for \(|z |> 1)\).