A bound on the expected overshoot for some concave boundaries (Q1377363): Difference between revisions

Let \(X_1, X_2,\dots\) be i.i.d. random variables with finite mean \(\mu>0\), \(S_n=X_1+\dots+X_n\). For \(f(n)=n^{\beta}\), \(c>0\) consider the stopping times \(T_c=\inf\{n: S_n>c+f(n)\}\) with overshoot \(R_c=S_{T_c}-(c+f(T_c))\). The aim of the paper is to obtain a bound for \(\sup_{c\geq 0}R_c\) for \(0<\beta<1\).