Excursions of a normal random walk above a boundary

DOI10.1016/S0167-7152(99)00196-0MaRDI QIDQ1573641zbMATH OpenOpenAlexFDO

Authors Evan Fisher, Matthew Berman, Natalie Vowels, Christine Wilson

Publication date 23 August 2001

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(99)00196-0

zbMATH Keywords

boundary crossingexcursionlaw of the iterated logarithmrandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Review text

A random walk is considered to make an excursion above a boundary \(g(i)\) from steps \(m\) to \(n\) if it is below \(g(m-1)\) after \(m-1\) steps, then above \(g(i)\) for \(i\) between \(m\) and \(n\). Thus the number of excursions is the number of times the walk crosses from below to above the boundary. A normal random walk is a random walk in which the steps are independent, identically distributed normal random variables. This article gives an integral condition on the boundary function for a normal random walk to have finitely many excursions above the boundary, and an asymptotic for the number of excursions in the first \(N\) steps if the expectation is infinite. An important example occurs when the steps are standard normal variables, and \(g(i)=c\sqrt{\log\log x}\). By the law of the iterated logarithm, this walk spends an infinite expected time above this boundary if \(c\leq\sqrt{2}\). However, the expected number of excursions is finite if \(c>1\). Upper and lower bounds are computed for this expected number.

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Cites work

• Expected number of excursions above curved boundarie by a random walk
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
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• Moments of Oscillations and Ruled Sums
• On the last time and the number of boundary crossings related to the strong law of large numbers and the law of the iterated logarithm
• ON THE LAW OF THE ITERATED LOGARITHM

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• Excursions of a random walk related to the strong law of large numbers
• The length of an excursion above a linear boundary by a random walk
• Expected number of excursions above curved boundarie by a random walk

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