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On the moments of ladder epochs for driftless random walks
Published online by Cambridge University Press: 14 July 2016
Abstract
Let X, X1, X2, … be i.i.d. Sn=Σ1nXj, E|X| > 0, E(X) = 0 and τ = inf {n ≥ 1: Sn ≥ 0}. By Wald's equation, E(τ) =∞. If E(X2) <∞, then by a theorem of Burkholder and Gundy (1970), E(τ1/2) =∞. In this paper, we prove that if E((X–)2) <∞, then E(τ1/2) =∞. When X is integer-valued and X ≥ −1 a.s., a necessary and sufficient condition for E(τ1–1/p) <∞, p > 1, is Σn–1–1p E|Sn| <∞.
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- Type
- Part 4 Random Walks
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- Copyright © Applied Probability Trust 1994
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