Overshoots over curved boundaries. II

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| ≤ rn b } 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...

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Veröffentlicht in:Advances in applied probability 2004-12, Vol.36 (4), p.1148-1174
Hauptverfasser: Doney, R. A., Griffin, P. S.
Format: Artikel
Sprache:eng
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Zusammenfassung: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| ≤ rn b } 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(r q ) as r → ∞.
ISSN:0001-8678
1475-6064
DOI:10.1239/aap/1103662961