Power and exponential moments of the number of visits and related quantities for perturbed random walks

DOI10.1007/S10959-012-0475-7MaRDI QIDQ2346971zbMATH OpenOpenAlexFDO

Authors Gerold Alsmeyer, Alexander Iksanov, Matthias Meiners

Publication date 26 May 2015

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.4159

zbMATH Keywords

exponential momentsfirst passage timelast exit timenumber of visitsperturbed random walkspower momentsrenewal theoryshot-noise processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Abstract: Let $(x{i}_1,et{a}_1),(x{i}_2,et{a}_2),\mathrm{...}$ be a sequence of i.i.d. copies of a random vector $(xi,eta)$ taking values in $R^2$, and let $S_n:=x{i}_1+\mathrm{...}+x{i}_n$. The sequence $(S_{n-1}+et{a}_n{)}_{ngeq1}$ is then called perturbed random walk. We study random quantities defined in terms of the perturbed random walk: $au(x)$, the first time the perturbed random walk exits the interval $(-infty,x]$, $N(x)$, the number of visits to the interval $(-infty,x]$, and $ho(x)$, the last time the perturbed random walk visits the interval $(-infty,x]$. We provide criteria for the a.s. finiteness and for the finiteness of exponential moments of these quantities. Further, we provide criteria for the finiteness of power moments of $N(x)$ and $ho(x)$.

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