Curve crossing for random walks reflected at their maximum

DOI10.1214/009117906000000953zbMATH Open1133.60022arXiv0708.1676OpenAlexW2073916266MaRDI QIDQ2373569FDOQ2373569

Authors: Ronald A. Doney, Ross A. Maller 

Publication date: 12 July 2007

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

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.

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

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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)

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