Two renewal theorems for general random walks tending to infinity
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Necessary and sufficient conditions for the existence of moments of the first passage time of a random walk S n into [x, ∞) for fixed x≧ 0, and the last exit time of the walk from (−∞, x], are given under the condition that S n →∞ a.s. The methods, which are quite different from those applied in the previously studied case of a positive mean for the increments of S n , 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.
- Two renewal theorems for general random walks tending to infinity
Probability Theory and Related Fields
Volume 106, Issue 1 , pp 1-38
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- Mathematics Subject classification (1991): 60K05
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