No label defined (Q4953928)

Let \(\{W_t\); \(t\geq 0\}\) be a standard one-dimensional Brownian motion. For each time \(t > 0\) let \[ \xi(t)=\inf \left\{s>0: W_{t+s} \notin \left[\inf_{0\leq u \leq t} W_u, \sup_{0\leq u\leq t}W_u\right] \right\} \] be the time needed to exit the current range. The main result is the complete characterization of the upper functions of \(\xi\): For a non-decreasing function \(f>0\) it holds that \({\mathbf P}[ \xi(t)>t f(t)\text{ i.o.} ]=0\) or \(1\) if and only if \(\int_{-\infty}^{\infty} \exp(-\pi \sqrt{f(t)})/t dt < \infty\) or \(=\infty\), respectively. In particular, \[ \limsup_{t \to \infty} {{\xi(t)}\over {t(\log \log t)^2}}= {1\over {{\pi}^2}}\quad\text{a.s.} \] The author also studies the corresponding problem for the real-valued random walk \(S_n=\sum_{i=1}^n X_i\) with \({\mathbf E}(X_i)=0\), \({\mathbf E}(X_i^2)=1\) and \({\mathbf E}(|X_i|^{2+\delta})<\infty\), for some \(\delta >0\). Let \[ \nu(n)=\min \left\{k\geq 1:S_{n+k}\notin \left[\min_{0\leq i \leq n}S_i,\;\max_{0\leq i \leq n} S_i \right]\right\}. \] By using the result obtained for Brownian motion, the following is proved: For a non-decreasing sequence \(\{a_n: n\geq 1 \}\) it holds that \({\mathbf P}[\nu(n)> na_n\) i.o.\(]=0\) or \(1\) if and only if \(\sum_n \exp(-\pi \sqrt{a_n})< \infty\) or \(=\infty\), respectively. This generalizes the result by \textit{P. Erdős} and \textit{P. Révész} [Stud. Sci. Math. Hung. 26, No. 2/3, 309-320 (1991; Zbl 0774.60036)] and \textit{E. Csáki} [ibid. 26, No. 2/3, 201-205 (1991; Zbl 0774.60035)].