Exponential moments of first passage times and related quantities for random walks (Q638212)

Let \((X_{n},n\geq 1)\) denote a sequence of i.i.d. real-valued random variables, and let \(S_{0}=0\), \(S_{n+1}=S_{n}+X_{n+1}\), \(n\geq 0\). For real \(x\), let \(\tau (x)\) denote the first passage time into \((x,\infty )\), let \(N(x)\) denote the number of visits to the interval \((-\infty ,x)\) and let \(\rho (x)\) denote the last exit time from \((-\infty ,x)\). If \(X_{1}>0\), we have \(\tau (x)-1=N(x)=\rho (x)\), \(x\geq 0\). For general real valued random variables with \(\text{P}(X<0)>0\), the authors provide if-and-only-if conditions to ensure that \(\text{E}(\exp (a\tau (x))<\infty \) for \(a>0\) and prove similar results for \( N(x)\) and \(\rho (x)\). In the second main result, the authors obtain conditions under which \(\text{E}(\exp (a\tau (x))\thicksim c\exp (\gamma x)\), where \(\gamma \) and \(c\) are explicitly given. They obtain similar results for \( N(x)\) and \(\rho (x)\). The paper closes with some well chosen examples.