The maximum of a random walk reflected at a general barrier

DOI10.1214/105051605000000610zbMATH Open1098.60044arXivmath/0603208OpenAlexW2169811594MaRDI QIDQ2494571FDOQ2494571

Authors: Niels Richard Hansen 

Publication date: 29 June 2006

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

Abstract: We define the reflection of a random walk at a general barrier and derive, in case the increments are light tailed and have negative mean, a necessary and sufficient criterion for the global maximum of the reflected process to be finite a.s. If it is finite a.s., we show that the tail of the distribution of the global maximum decays exponentially fast and derive the precise rate of decay. Finally, we discuss an example from structural biology that motivated the interest in the reflection at a general barrier.

Full work available at URL: https://arxiv.org/abs/math/0603208

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zbMATH Keywords

renewal theoryexponential change of measureglobal maximumstructural biologyalignment of sequenceslight-tailed incrementsreflection at general barrier

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Protein sequences, DNA sequences (92D20) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

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Cited In (9)

• Asymptotics for local maximal stack scores with general loop penalty function
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• Renewal theorems and stability for the reflected process
• Integral equations with substochastic kernels
• Scaling limit of soliton lengths in a multicolor box-ball system
• Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift
• Gene flow across geographical barriers -- scaling limits of random walks with obstacles
• Curve crossing for random walks reflected at their maximum

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