Bound on the running maximum of a random walk with small drift

MaRDI QIDQ5026467zbMATH OpenFDO

Authors Ofer Busani, Timo Seppäläinen

Publication date 8 February 2022

Full work available at URL https://arxiv.org/abs/2010.08767, https://alea.impa.br/articles/v19/19-03.pdf

zbMATH Keywords

random walklower boundrunning maximum

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Sample path properties (60G17)

Abstract: We derive a lower bound for the probability that a random walk with i.i.d. increments and small negative drift $mu$ exceeds the value $x>0$ by time $N$. When the moment generating functions are bounded in an interval around the origin, this probability can be bounded below by $1-O(x|mu|logN)$. The approach is elementary and does not use strong approximation theorems.

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Cites work

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• Universality of the geodesic tree in last passage percolation
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• Upper bounds for the maximum of a random walk with negative drift

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