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Curve crossing for random walks reflected at their maximum

Doney, R A; Maller, Ross

Description

Let Rn = max0≤j≤n Sj - Sn be a random walk Sn reflected in its maximum. Except in the trivial case when P(X ≥ 0) = 1, Rn will pass over a horizontal boundary of any height in a finite time, with probability 1. We extend this by giving necessary and

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/35485
Source: Annals of Applied Probability
DOI: 10.1214/0091179060000953

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