Summary.
Necessary and sufficient conditions for the existence of moments of the first passage time of a random walk S n into [x, ∞) for fixed x≧ 0, and the last exit time of the walk from (−∞, x], are given under the condition that S n →∞ a.s. The methods, which are quite different from those applied in the previously studied case of a positive mean for the increments of S n , are further developed to obtain the “order of magnitude” as x→∞ of the moments of the first passage and last exit times, when these are finite.
A number of other conditions of interest in renewal theory are also discussed, and some results for the first time for which the random walk remains above the level x on K consecutive occasions, which has applications in option pricing, are given.
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Received: 18 September 1995/In revised form: 28 February 1996
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Kesten, H., Maller, R. Two renewal theorems for general random walks tending to infinity. Probab Theory Relat Fields 106, 1–38 (1996). https://doi.org/10.1007/s004400050056
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DOI: https://doi.org/10.1007/s004400050056