Random walks crossing high level curved boundaries (Q1272500)
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English | Random walks crossing high level curved boundaries |
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Random walks crossing high level curved boundaries (English)
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3 January 1999
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Much attention has been paid to properties of first passage times across horizontal or curved boundaries for random walks \(\{S_n\}\). Consider \(T(a)= \min\{n\geq 1:| S_n|> an^\gamma\}\), \(a>0\). The present paper focusses on the problem of establishing necessary and sufficient conditions for e.g. \(P(T(a)< \infty, S_{T(a)}> 0)\to 1\) as \(a\to\infty\), which means that the upper boundary is a.s. crossed (asymptotically) when a passage occurs. One attractive criterion (which does not always work) is \(S_n@> p>>\infty\), another one is existence of moments of some proper order.
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first passage times
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random walks
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