The Annals of Applied Probability

Inequalities for the Overshoot

Joseph T. Chang

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Abstract

Let $X_1, X_2, \ldots$ be independent and identically distributed positive random variables with $S_n = X_1 + \cdots + X_n$, and for nonnegative $b$ define $R_b = \inf\{S_n - b: S_n > b\}$. Then $R_b$ is called the overshoot at $b$. In terms of the moments of $X_1$, Lorden gave bounds for the moments of $R_b$ that hold uniformly over all $b$. Using a coupling argument, we establish stochastic ordering inequalities that imply the moment inequalities of Lorden. In addition to simple new proofs of Lorden's inequalities, we provide new inequalities for the tail probabilities $P\{R_b > x\}$ and moments of $R_b$ that improve upon those of Lorden. We also present conjectures for sharp moment inequalities and describe an application to the first ladder height of random walks.

Article information

Source
Ann. Appl. Probab. Volume 4, Number 4 (1994), 1223-1233.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1177004913

Digital Object Identifier
doi:10.1214/aoap/1177004913

Mathematical Reviews number (MathSciNet)
MR1304783

Zentralblatt MATH identifier
0812.60021

JSTOR
links.jstor.org

Subjects
Primary: 60K05: Renewal theory
Secondary: 60E15: Inequalities; stochastic orderings 60J15

Keywords
Renewal theory residual lifetime excess over the boundary total lifetime length-biased sampling inspection paradox ladder height coupling stochastic ordering

Citation

Chang, Joseph T. Inequalities for the Overshoot. Ann. Appl. Probab. 4 (1994), no. 4, 1223--1233. doi:10.1214/aoap/1177004913. http://projecteuclid.org/euclid.aoap/1177004913.


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