Tails of passage-times and an application to stochastic processes with boundary reflection in wedges

S. Aspandiiarov and R. Iasnogorodski

Stochastic Processes and their Applications, 1997, vol. 66, issue 1, 115-145

Abstract: In this paper we obtain lower bounds for the tails of the distributions of the first passage-times for some stochastic processes. We consider first discrete parameter processes with asymptotically small drifts taking values in + and prove for them a general result giving lower bounds for these tails. As an application of the obtained results, we obtain lower bounds for the tails of the distributions of the first passage-times for reflected random walks in a quadrant with zero-drift in the interior. The latter bounds are then used to get explicit conditions for the finiteness or not of the moments of the first passage-time to the origin for a Brownian motion with oblique reflection in a wedge.

Keywords: Passage-times; Recurrence; classification; Markov; chain; with; boundary; reflection; Reflected; Brownian; motion (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (2)

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