Asymptotic expansions in boundary crossing problems (Q1089667)

Let \(X_ 1,X_ 2,..\). be i.i.d. with mean \(\mu\) and variance \(\sigma^ 2\) and g be a function on \({\mathbb{R}}\) which is twice continuously differentiable near \(\mu\) and satisfies the conditions \(g(\mu)>0<g'(\mu)\). Let \[ S^*_ n=(X_ 1+...+X_ n-n\mu)/\sigma \sqrt{n},\quad Z_ n=ng((X_ 1+...+X_ n)/n),\quad n\geq 1, \] and let \(t=t_ a=\inf \{n\geq 1: Z_ n>a\}\), \(a\geq 1.\) The main results of the paper determine two-term asymptotic expansions for the distributions of \(t_ a\) and \(S^*_ t\).