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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 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, 40:2, 398–402

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© Steklov Math. Inst. of RAS, 2025