Inequalities for the Moments and Distribution of the Ladder Height of a Random Walk |
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| Authors: | Lotov V I |
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| Affiliation: | (1) Sobolev Institute of Mathematics, Novosibirsk |
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| Abstract: | We obtain upper bounds for the tail distribution of the first nonnegative sum of a random walk and for the moments of the overshoot over an arbitrary nonnegative level if the expectation of jumps is positive and close to zero. In addition, we find an estimate for the expectation of the first ladder epoch. |
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| Keywords: | ladder epoch ladder height random walk with a small drift (heavy traffic condition) |
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