From Boundary Crossing of Non-Random Functions to Boundary Crossing of   Stochastic Processes
  One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of sequential analysis. An extension of his approach is provided by the optional sampling theorem in conjunction with martingale inequalities. Deriving the explicit close form solution for the expected crossing times may be difficult. In this paper, we provide a framework that can be used to estimate expected crossing times of arbitrary stochastic processes. Our key assumption is the knowledge of the average behavior of the supremum of the process. Our results include a universal sharp lower bound on the expected crossing times. 
Mark Brown, Victor de la Pena and Tony Sit
stat.ME math.PR