First Exit Times from Moving Boundaries for Sums of Independent Random Variables
Lai, Tze Leung
Ann. Probab., Tome 5 (1977) no. 6, p. 210-221 / Harvested from Project Euclid
Let $X_1, X_2, \cdots$ be independent random variables such that $EX_n = 0, EX_n^2 = 1, n = 1,2, \cdots$ and the uniform Lindeberg condition is satisfied. Let $S_n = X_1 + \cdots + X_n$. In this paper, we study the first exit time $N_c = \inf \{n \geqq m: |S_n| \geqq cb(n)\}$ for general lower-class boundaries $b(n)$. Our results extend the theorems of Breiman, Brown, Chow, Robbins and Teicher, Gundy and Siegmund who studied the case $b(n) = n^{\frac{1}{2}}$. We also obtain the limiting moments of $N_c$ in the case $b(n) = n^\alpha (0 < \alpha < \frac{1}{2})$ as analogues of recent results in extended renewal theory.
Publié le : 1977-04-14
Classification:  First exit times,  lower-class boundaries,  Lindeberg condition,  uniform invariance principle,  delayed sums,  extended renewal theory without drift,  60F05,  60K05
@article{1176995846,
     author = {Lai, Tze Leung},
     title = {First Exit Times from Moving Boundaries for Sums of Independent Random Variables},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 210-221},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995846}
}
Lai, Tze Leung. First Exit Times from Moving Boundaries for Sums of Independent Random Variables. Ann. Probab., Tome 5 (1977) no. 6, pp.  210-221. http://gdmltest.u-ga.fr/item/1176995846/