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esg
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(Since you are looking for a reference, I turn my comment above into an answer:)

A proof using classical fluctuation theory is given my answer to

Expected supremum of average?

(I'm not aware that this result is well known, or of earlier references).

ADDED:

Consider the associated Poisson process $N(t)$ with $N(0)=0$ and interarrival times $X_i$. Then is is easy to see that for $a>0$ \begin{align*} \sup_{t\geq 0}( N(t)-at) \leq 0 \;\; \Longleftrightarrow \;\;\inf_{n\geq 1}\frac{S_n}{n}\geq \frac{1}{a}\end{align*}

It was shown here https://www.ams.org/journals/tran/1957-085-01/S0002-9947-1957-0084900-X/S0002-9947-1957-0084900-X.pdf and here https://www.jstor.org/stable/2237099 that \begin{align*}\mathbb{P}(\sup_{t\geq 0} (N(t)-at)\leq 0)=\Big\{\begin{array}{cc} 1-\frac{1}{a} \mbox { if } a\geq 1\\ 0 \mbox{ else }\end{array}\end{align*}

Thus in this formulation the result is indeed classical.

(Since you are looking for a reference, I turn my comment above into an answer:)

A proof using classical fluctuation theory is given my answer to

Expected supremum of average?

(I'm not aware that this result is well known, or of earlier references).

(Since you are looking for a reference, I turn my comment above into an answer:)

A proof using classical fluctuation theory is given my answer to

Expected supremum of average?

(I'm not aware that this result is well known, or of earlier references).

ADDED:

Consider the associated Poisson process $N(t)$ with $N(0)=0$ and interarrival times $X_i$. Then is is easy to see that for $a>0$ \begin{align*} \sup_{t\geq 0}( N(t)-at) \leq 0 \;\; \Longleftrightarrow \;\;\inf_{n\geq 1}\frac{S_n}{n}\geq \frac{1}{a}\end{align*}

It was shown here https://www.ams.org/journals/tran/1957-085-01/S0002-9947-1957-0084900-X/S0002-9947-1957-0084900-X.pdf and here https://www.jstor.org/stable/2237099 that \begin{align*}\mathbb{P}(\sup_{t\geq 0} (N(t)-at)\leq 0)=\Big\{\begin{array}{cc} 1-\frac{1}{a} \mbox { if } a\geq 1\\ 0 \mbox{ else }\end{array}\end{align*}

Thus in this formulation the result is indeed classical.

Source Link
esg
  • 3.3k
  • 11
  • 15

(Since you are looking for a reference, I turn my comment above into an answer:)

A proof using classical fluctuation theory is given my answer to

Expected supremum of average?

(I'm not aware that this result is well known, or of earlier references).