Abstract
We study the asymptotic tail behavior of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior may be described through a regularly varying function with exponent-1/2, where the impact of the boundary is captured by the slowly varying function. Yet, the moving boundary may have a stronger effect when the tail is considered at a time close to the return point of the random walk bridge, leading to a possible phase transition depending on the order of the distance between zero and the moving boundary.
Original language | English |
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Pages (from-to) | 627-651 |
Number of pages | 25 |
Journal | Journal of Applied Probability |
Volume | 55 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Jun 2018 |
Keywords
- bridge
- first-passage time
- moving boundary
- Random walk