First-passage time asymptotics over moving boundaries for random walk bridges

DOI10.1017/JPR.2018.39MaRDI QIDQ4684963zbMATH OpenOpenAlexWikidataFDO

Authors Fiona Sloothaak, Vitali Wachtel, Bert Zwart

Publication date 26 September 2018

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

Full work available at URL https://arxiv.org/abs/1708.02408

zbMATH Keywords

bridgefirst-passage timemoving boundaryrandom walk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior may be described through a regularly varying function with exponent -1/2, where the impact of the boundary is captured by the slowly varying function. Yet, the moving boundary may have a stronger effect when the tail is considered at a time close to the return point of the random walk bridge. In the latter case, a phase transition appears in the asymptotics, of which the precise nature depends on the order of distance between zero and the moving boundary.

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Cited in

(6)

• First-passage times for random walks with nonidentically distributed increments
• First passage time distribution in random walks with absorbing boundaries
• Statistics of the occupation time for a random walk in the presence of a moving boundary
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• The impact of a network split on cascading failure processes
• scientific article; zbMATH DE number 5492190 (Why is no real title available?)

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