Curve crossing for random walks reflected at their maximum

DOI10.1214/009117906000000953MaRDI QIDQ2373569zbMATH OpenOpenAlexFDO

Authors Ronald A. Doney, Ross A. Maller

Publication date 12 July 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.1676

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Abstract: Let $R_n=ma{x}_{0leqjleqn}{S}_j-S_n$ be a random walk $S_n$ reflected in its maximum. Except in the trivial case when $P(Xge0)=1$, $R_n$ will pass over a horizontal boundary of any height in a finite time, with probability 1. We extend this by giving necessary and sufficient conditions for finiteness of passage times of $R_n$ above certain curved (power law) boundaries, as well. The intuition that a degree of heaviness of the negative tail of the distribution of the increments of $S_n$ is necessary for passage of $R_n$ above a high level is correct in most, but not all, cases, as we show. Conditions are also given for the finiteness of the expected passage time of $R_n$ above linear and square root boundaries.

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Cited in

(6)

• Lévy risk model with two-sided jumps and a barrier dividend strategy
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• Pruitt's estimates in Banach space
• On the conditional default probability in a regulated market with jump risk
• Renewal theorems and stability for the reflected process
• A lifetime of excursions through random walks and Lévy processes

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