Moments of the first descending epoch for a random walk with negative drift

Abstract: We consider the first exit time

a u = m i n n g e 1 : S_{n} l e 0

from the positive halfline of a random walk

S_{n} = s u m_{1}^{n} x i_{i}, n g e 1

with i.d.d. summands having a negative drift

m a t h b b E x i = - a < 0

. Let

x i^{+} = m a x (0, x i_{1})

. It is well-known that, for any

c > 1

, the finiteness of

m a t h b b E (x i^{+})^{c}

implies the finiteness of

m a t h b b E a u^{c}

and, for any

c > 0

, the finiteness of

m a t h b b E e x p (c x i^{+})

implies that of

m a t h b b E e x p (c^{'} a u)

where

c^{'} > 0

is, in general, another constant that depends on

c

and on the distribution of

x i_{1}

. We consider the intermediate case, assuming that

m a t h b b E e x p (g (x i^{+})) < i n f t y

for a positive increasing function

g

such that

l i m i n f_{x o i n f t y} g (x) / l o g x = i n f t y

and

l i m s u p_{x o i n f t y} g (x) / x = 0

, and that

m a t h b b E e x p (c x i^{+}) = i n f t y

, for all

c > 0

. Assuming a few further technical assumptions, we show that then

m a t h b b E e x p ((1 - v a r e p s i l o n) g ((1 - v a r e p s i l o n) a a u)) < i n f t y

, for any

v a r e p s i l o n i n (0, 1)

.

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