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Bound on the running maximum of a random walk with small drift

Ofer Busani, Timo Seppäläinen

Research output: Contribution to journalArticle (Academic Journal)peer-review

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)51
JournalAlea
Volume19
Issue number1
DOIs
Publication statusPublished - 1 Jan 2022

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