On the existence of moments of the exit time from the positive halfline for a random walk with negative drift

Sergey Foss, Timofej Prasolov

Published 2021-08-18Version 1

We consider the first exit time $\tau = \min \{n\ge 1 : S_n\le 0\}$ from the positive halfline of a random walk $S_n = \sum_1^n \xi_i, n\ge 1$ with i.d.d. summands having a negative drift ${\mathbb E} \xi = -a< 0$. Let $\xi^+ = \max (0, \xi_1)$. It is well-known that, for any $c>1$, the finiteness of ${\mathbb E}(\xi^+)^{c}$ implies the finiteness of ${\mathbb E} \tau^c$ and, for any $c>0$, the finiteness of ${\mathbb E} \exp({c\xi^+})$ implies that of ${\mathbb E} \exp({c'\tau})$ where $c'>0$ is, in general, another constant that depends on $c$ and on the distribution of $\xi_1$. We consider the intermediate case, assuming that ${\mathbb E} \exp({g(\xi^+)})<\infty$ for a positive increasing function $g$ such that $\liminf_{x\to\infty} g(x)/\log x = \infty$ and $\limsup_{x\to\infty} g(x)/x =0$, and that ${\mathbb E} \exp({c\xi^+})=\infty$, for all $c>0$. Assuming a few further technical assumptions, we show that then ${\mathbb E} \exp({(1-\varepsilon){g}((1-\varepsilon)a\tau)})<\infty$, for any $\varepsilon \in (0,1)$.