Open Access
February 2006 The maximum of a random walk reflected at a general barrier
Niels Richard Hansen
Ann. Appl. Probab. 16(1): 15-29 (February 2006). DOI: 10.1214/105051605000000610
Abstract

We define the reflection of a random walk at a general barrier and derive, in case the increments are light tailed and have negative mean, a necessary and sufficient criterion for the global maximum of the reflected process to be finite a.s. If it is finite a.s., we show that the tail of the distribution of the global maximum decays exponentially fast and derive the precise rate of decay. Finally, we discuss an example from structural biology that motivated the interest in the reflection at a general barrier.

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Copyright © 2006 Institute of Mathematical Statistics
Niels Richard Hansen "The maximum of a random walk reflected at a general barrier," The Annals of Applied Probability 16(1), 15-29, (February 2006). https://doi.org/10.1214/105051605000000610
Published: February 2006
Vol.16 • No. 1 • February 2006
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