Asymptotics for the moments of the overshoot and undershoot of a random walk

Abstract

In this paper we obtain some equivalent conditions and sufficient conditions for the local and nonlocal asymptotics of the φ-moments of the overshoot and undershoot of a random walk, where φ is a nonnegative, long-tailed function. By the strong Markov property, it can be shown that the moments of the overshoot and undershoot and the moments of the first ascending ladder height of a random walk satisfy some renewal equations. Therefore, in this paper we first investigate the local and nonlocal asymptotics for the moments of the first ascending ladder height of a random walk, and then give some equivalent conditions and sufficient conditions for the asymptotics of the solutions to some renewal equations. Using the above results, the main results of this paper are obtained.