Expected number of excursions above curved boundarie by a random walk

Fima C. Klebaner
1990 Bulletin of the Australian Mathematical Society  
An asymptotic relation for the expected number of excursions above a boundary g(n) by a random walk S n , n = 1,2, .., N is given in terms of an integral involving g. An integral test is given to determine whether the total excursion time has finite expectation. If some moment assumptions hold then the expectation of the total excursions is finite if and only if J°° t 1 * 2 g~1{t)exp (-g 2 (t)/2 > )dt < oo.
doi:10.1017/s0004972700018013 fatcat:kfla6tkuwvd37gmydbhybizhue