Random walks crossing power law boundaries

H. Kesten*, R. A. Maller

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)

Abstract

We collect together some known results, and prove some new results, giving criteria for lim sup/n→∞ |Sn|/nκ = ∞ a.s. or lim sup/n→∞ Sn/nκ = ∞ a.s., where Sn is a random walk and K ≧ 0. Conditions which are necessary and sufficient are given for all cases, and the conditions are quite explicit in all but one case (the case 1/2 < K < 1, E|X| < ∞, EX = 0 for lim sup/n→∞ Sn/nk). The results are related to the finiteness of the first passage times of the random walk out of the regions {(n, y) : n ≧ 1, |y| ≦ anκ} and {(n, y) : n ≧1, y ≦ anκ}, where K > 0, a > 0.

Original languageEnglish
Pages (from-to)219-252
Number of pages34
JournalStudia Scientiarum Mathematicarum Hungarica
Volume34
Issue number1-3
Publication statusPublished - 1998
Externally publishedYes

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