The maximum of a random walk reflected at a general barrier

Simple item page
dc.creatorHansen, Niels Richard
dc.date2006-03-09
dc.date.accessioned2026-07-07T07:06:41Z
dc.date.available2026-07-07T07:06:41Z
dc.descriptionWe define the reflection of a random walk at a general barrier and derive, in case the increments are light tailed and have negative mean, a necessary and sufficient criterion for the global maximum of the reflected process to be finite a.s. If it is finite a.s., we show that the tail of the distribution of the global maximum decays exponentially fast and derive the precise rate of decay. Finally, we discuss an example from structural biology that motivated the interest in the reflection at a general barrier.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000610 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0603208
dc.identifierhttp://arxiv.org/abs/math/0603208
dc.identifierAnnals of Applied Probability 2006, Vol. 16, No. 1, 15-29
dc.identifierdoi:10.1214/105051605000000610
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/110116
dc.subjectProbability
dc.subject60G70 (Primary) 60F10 (Secondary)
dc.titleThe maximum of a random walk reflected at a general barrier
dc.typetext

Files

Collections

arXiv