Curve crossing for random walks reflected at their maximum (Q2373569): Difference between revisions

Let \(\{S_n\}\) be a random walk and let \(R_n = \max_{1\leq n} S_j- S_n\) be the random walk reflected in its maximum. The main object of the paper is \(\tau_\kappa(r)= \min\{n\geq 1: R_n> rn^\kappa\}\), i.e., the first passage time above a power law boundary. Here \(\kappa\), \(r> 0\) or \(\kappa= 0\), \(r\geq 0\). The results concern, e.g., a.s.-finiteness of \(\tau_\kappa(r)\), existence of moments of the same as well as growth rate results of \(R_n\) itself.