English

Transition phenomena for ladder epochs of random walks with small negative drift

Probability 2009-05-11 v1

Abstract

For a family of random walks {S(a)}\{S^{(a)}\} satisfying ES1(a)=a<0\mathbf{E}S_1^{(a)}=-a<0 we consider ladder epochs τ(a)=min{k1:Sk(a)<0}\tau^{(a)}=\min\{k\geq1: S_k^{(a)}<0\}. We study the asymptotic, as a0a\to0, behaviour of P(τ(a)>n)\mathbf{P}(\tau^{(a)}>n) in the case when n=n(a)n=n(a)\to\infty. As a consequence we obtain also the growth rates of the moments of τ(a)\tau^{(a)}.

Keywords

Cite

@article{arxiv.0905.1186,
  title  = {Transition phenomena for ladder epochs of random walks with small negative drift},
  author = {Vitali Wachtel},
  journal= {arXiv preprint arXiv:0905.1186},
  year   = {2009}
}

Comments

27 pages