Abstract
We derive a lower bound for the probability that a random walk with i.i.d.\ increments and small negative drift \mu exceeds the value x>0 by time N. When the moment generating functions are bounded in an interval around the origin, this probability can be bounded below by 1-O(x|\mu| \log N). The approach is elementary and does not use strong approximation theorems.
| Original language | English |
|---|---|
| Pages (from-to) | 51 |
| Journal | Alea |
| Volume | 19 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Jan 2022 |
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