The maximum of a random walk reflected at a general barrier

DOI10.1214/105051605000000610MaRDI QIDQ2494571zbMATH OpenOpenAlexFDO

Authors Niels Richard Hansen

Publication date 29 June 2006

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3766893 (Why is no real title available?)
• scientific article; zbMATH DE number 3222422 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Applied Probability and Queues
• Approximate \(p\)-values for local sequence alignments.
• Extreme Values in the GI/G/1 Queue
• Large deviations for global maxima of independent superadditive processes with negative drift and an application to optimal sequence alignments
• Limit distributions of maximal segmental score among Markov-dependent partial sums
• Local alignment of Markov chains
• Sequential analysis. Tests and confidence intervals

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• Scaling limit of soliton lengths in a multicolor box-ball system
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