Curve crossing for random walks reflected at their maximum

Abstract

Let $R_n=\max_{0\leq j\leq n}S_j-S_n$ be a random walk $S_n$ reflected in its maximum. Except in the trivial case when $P(X\ge0)=1$, $R_n$ will pass over a horizontal boundary of any height in a finite time, with probability 1. We extend this by giving necessary and sufficient conditions for finiteness of passage times of $R_n$ above certain curved (power law) boundaries, as well. The intuition that a degree of heaviness of the negative tail of the distribution of the increments of $S_n$ is necessary for passage of $R_n$ above a high level is correct in most, but not all, cases, as we show. Conditions are also given for the finiteness of the expected passage time of $R_n$ above linear and square root boundaries.Comment: Published at http://dx.doi.org/10.1214/009117906000000953 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org