On moments of the first ladder height of random walks with small drift (Q1201321)

\textit{D. Siegmund} [Adv. Appl. Probab. 11, 701-719 (1979; Zbl 0422.60053)] used for the first time the so called ``corrected diffusion approximations'' in studying the boundary crossing probabilities for random walks. The main purpose of this paper is to develop refinements of the results of Siegmund. However there are many other results of independent interest, including those concerning the covariance between the first passage time of a random walk over a horizontal boundary and the amount by which the random walk overshoots that boundary. An application of the obtained results to a sequential method used in quality control for detecting a change in a probability distribution is also described.