I'm interested in the downswings of discrete walks w(t) whose steps are IID, bounded, and have positive mean. A simple example might have steps which are +1 with probability 2/3, and -1 with probability 1/3. A downswing of size at least D on [0,t] means 0<=a<b<=t and w(a)-w(b)>D.
Natural questions include the expected size of the largest downswing within [0,t] and the expected minimum b so that there is a downswing of size D ending at b.
One possible approach is to use a Brownian approximation with the same mean and standard deviation. This has the advantage that the distribution of the largest downswing on [0,t] has been studied. The expected time before a downswing of size D is computable and has a simple formula. Asymptotic expressions for the average size of the largest downswing on [0,t] have been computed. See Amrit Pratap's MS thesis.
However, the Brownian approximation has the disadvantage that it is wrong, and sometimes it is wrong by a lot. For example, a walk with only positive steps has no downswings at all.
I'd like to know how bad I should expect the Brownian approximation should be for steps which can be negative, with relatively small positive mean relative to the standard deviation. For example, -1 with probability 4/5, +5 with probability 1/5. I'd like to know if a skew in the positive direction means that large downswings are less common in the discrete walk than in the Brownian approximation.
Any help would be appreciated.