Two renewal theorems for general random walks tending to infinity
- Cite this article as:
- Kesten, H. & Maller, R. Probab Theory Relat Fields (1996) 106: 1. doi:10.1007/s004400050056
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Necessary and sufficient conditions for the existence of moments of the first passage time of a random walk Sn into [x, ∞) for fixed x≧ 0, and the last exit time of the walk from (−∞, x], are given under the condition that Sn→∞ a.s. The methods, which are quite different from those applied in the previously studied case of a positive mean for the increments of Sn, are further developed to obtain the “order of magnitude” as x→∞ of the moments of the first passage and last exit times, when these are finite.
A number of other conditions of interest in renewal theory are also discussed, and some results for the first time for which the random walk remains above the level x on K consecutive occasions, which has applications in option pricing, are given.