First-passage time asymptotics over moving boundaries for random walk bridges

Article, Preprint English OPEN
Sloothaak, F.; Wachtel, Vitali; Zwart, Bert;
(2018)
  • Related identifiers: doi: 10.1017/jpr.2018.39
  • Subject: Random walk | Mathematics(all) | first-passage time | Mathematics - Probability | Statistics, Probability and Uncertainty | Statistics and Probability | bridge | moving boundary

We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior may be described through a re... View more
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