Curve Crossing for the Reflected Process
نویسندگان
چکیده
Let Rn = max0≤j≤n Sj − Sn be a random walk Sn reflected in its maximum. We give necessary and sufficient conditions for finiteness of passage times of Rn above horizontal or certain curved (power law) boundaries. Necessary and sufficient conditions are also given for the finiteness of the expected passage time of Rn above linear and square root boundaries. 2000 MSC Subject Classifications: primary: 60J15, 60F15, 60K05, 60G40 secondary: 60F05, 60G42
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Curve Crossing for the Reflected Lévy Process at zero and infinity
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