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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 2, Pages 412–417 (Mi tvp3486)  

Short Communications

On the maximum of a simple random walk

V. A. Vatutin

Steklov Mathematical Institute, Russian Academy of Sciences
Abstract: Let $S_0=0$, $S_n=\xi_1+\xi_2+\dots+\xi_n$, $n\ge 1$, be the simple random walk generated by a sequence of independent random variables $\xi_i $, $i=1,2,\dots$, such that $\mathbf{P}\{\xi_i=1\}=1-\mathbf{P}\{\xi_i=-1\}=\frac12$, and let $T$ be the moment of the first return of $S_n$ to the state 0. We find an asymptotic representation for the probability $\mathbf{P}\{\max_{0<k<T}|S_k|>n|T=2N\}$ which is exact (in order), assuming that $n^2 N^{-1}\to\infty$, and $nN^{-1}\le a<1$. The results obtained are used to study the asymptotics of moderate and large deviations of the height of a planted plane tree with $N$ vertices.
Keywords: random walk, return to zero, moderate and large deviations, the height of a planted plane tree.
Received: 27.03.1992
English version:
Theory of Probability and its Applications, 1995, Volume 40, Issue 2, Pages 398–402
DOI: https://doi.org/10.1137/1140044
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. A. Vatutin, “On the maximum of a simple random walk”, Teor. Veroyatnost. i Primenen., 40:2 (1995), 412–417; Theory Probab. Appl., 40:2 (1995), 398–402
Citation in format AMSBIB
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\paper On the maximum of a~simple random walk
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\jour Theory Probab. Appl.
\yr 1995
\vol 40
\issue 2
\pages 398--402
\crossref{https://doi.org/10.1137/1140044}
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