Excursions of a normal random walk above a boundary

Evan Fisher, Matthew Berman, Natalie Vowels and Christine Wilson

Statistics & Probability Letters, 2000, vol. 48, issue 2, 141-151

Abstract: An integral condition is derived that is equivalent to the condition that the expected number of excursions by a normal random walk beyond a boundary is finite. In the case where the expected number of excursions is infinite, the asymptotic size is determined relative to the number of steps. Applications are given and the behavior for a transitional family of boundaries is investigated.

Keywords: Random; walks; Excursions; Boundary; crossings (search for similar items in EconPapers)
Date: 2000
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