TY - JOUR
T1 - Random walks crossing power law boundaries
AU - Kesten, H.
AU - Maller, R. A.
PY - 1998
Y1 - 1998
N2 - 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.
AB - 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.
KW - Boundary crossing probabilities
KW - Exit times
KW - First-passage times
KW - Limsup behaviour
KW - Random walks
UR - http://www.scopus.com/inward/record.url?scp=0005459138&partnerID=8YFLogxK
M3 - Article
SN - 0081-6906
VL - 34
SP - 219
EP - 252
JO - Studia Scientiarum Mathematicarum Hungarica
JF - Studia Scientiarum Mathematicarum Hungarica
IS - 1-3
ER -