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Overshoots over curved boundaries. II

Part of: Stochastic processes

Published online by Cambridge University Press:  01 July 2016

R. A. Doney  and
P. S. Griffin
R. A. Doney*
Affiliation:
University of Manchester
P. S. Griffin*
Affiliation:
Syracuse University
*
∗ Postal address: Mathematics Department, University of Manchester, Manchester M13 9PL, UK. Email address: [email protected]
∗∗ Postal address: Mathematics Department, Syracuse University, Syracuse, NY 13244-1150, USA.
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Abstract

We continue the study of the asymptotic behaviour of a random walk when it exits from a symmetric region of the form {(x, n): |x| ≤ rnb} as r → ∞ which was begun in Part I of this work. In contrast to that paper, we are interested in the case where the probability of exiting at the upper boundary tends to 1. In this scenario we treat the case where the power b lies in the interval [0, 1), and we establish necessary and sufficient conditions for the overshoot to be relatively stable in probability (except for the case ), and for the pth moment of the overshoot to be O(rq) as r → ∞.

Keywords

Random walkexit timepower-law boundaryrelative stabilitymoments of overshoots

MSC classification

Primary: 60G50: Sums of independent random variables; random walks
Type
General Applied Probability
Information
Advances in Applied Probability , Volume 36 , Issue 4 , December 2004 , pp. 1148 - 1174
Copyright
Copyright © Applied Probability Trust 2004 

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Footnotes

Supported by EPSRC grant GR/N 94939.

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