Asymptotic Moments of Random Walks with Applications to Ladder Variables and Renewal Theory
Lai, Tze Leung
Ann. Probab., Tome 4 (1976) no. 6, p. 51-66 / Harvested from Project Euclid
Let $X_1, X_2, \cdots$ be i.i.d. random variables with $EX_1 = 0, EX_1^2 = 1$ and let $S_n = X_1 + \cdots + X_n$. In this paper, we study the ladder variable $S_N$ where $N = \inf \{n \geqq 1: S_n > 0\}$. The well-known result of Spitzer concerning $ES_N$ is extended to the higher moments $ES_N^k$. In this connection, we develop an asymptotic expansion of the one-sided moments $E\lbrack(n^{-\frac{1}{2}}S_n)^-\rbrack^\nu$ related to the central limit theorem. Using a truncation argument involving this asymptotic expansion, we obtain the absolute convergence of Spitzer's series of order $k - 2$ under the condition $E|X_1|^k < \infty$, extending earlier results of Rosen, Baum and Katz in connection with $ES_N$. Some applications of these results to renewal theory are also given.
Publié le : 1976-02-14
Classification:  Ladder epoch,  ladder variable,  Spitzer's series,  asymptotic moments,  Tauberian theorem,  renewal theory,  expected overshoot,  60J15,  60K05
@article{1176996180,
     author = {Lai, Tze Leung},
     title = {Asymptotic Moments of Random Walks with Applications to Ladder Variables and Renewal Theory},
     journal = {Ann. Probab.},
     volume = {4},
     number = {6},
     year = {1976},
     pages = { 51-66},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996180}
}
Lai, Tze Leung. Asymptotic Moments of Random Walks with Applications to Ladder Variables and Renewal Theory. Ann. Probab., Tome 4 (1976) no. 6, pp.  51-66. http://gdmltest.u-ga.fr/item/1176996180/