Convergence related to a negative drift random walk

probability theoryrandom walkstochastic-processes

Let $S_n$ be random walk with negative drift, i.e. $EX < 0$. ($S_n = X_1 + \dots + X_n$, $S_0 = 0$). Consequently, $S_n \to – \infty$ a.s. My question is whether this implies that $$ E \left (\frac{1}{\sum_{k=0}^{n} e^{S_k}} \right) \geq c > 0$$
for some $c$ holds. It seems reasonable that this holds, because $e^{S_k}$ should be exponentially decreasing. Can this be proven rigorously?

Best Answer

Here's an easy way to do it:

Let $E X = -\gamma < 0$; I'm gonna assume that $|X| \leq 1$, but this works even without this assumption. By Azuma's inequality, we have $$P(S_n \geq -\gamma \cdot n/2) \leq \exp\left( -\frac{\gamma^2 n}{8}\right)\,.$$

Thus there is some $M$ so that $$\sum_{n \geq M} P(S_n \geq -\gamma \cdot n/2) < 1\,.$$

Let $A_M$ denote the event that $ \{S_n \leq - \gamma \cdot n/2 \text{ for all }n \geq M\}$. Then the above shows that $P(A_M) > 0$. But on the event $A_M$, the expectation you are interested in is bounded below.

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