Moments of Absorption Time for a Conditioned Random Walk

1979 ◽  
Vol 60 (1) ◽  
pp. 83-90 ◽  
Author(s):  
W. A. Beyer ◽  
M.S. Waterman
Keyword(s):  
1978 ◽  
Vol 15 (2) ◽  
pp. 292-299 ◽  
Author(s):  
Anthony G. Pakes

In a recent paper Green (1976) obtained some conditional limit theorems for the absorption time of left-continuous random walk. His methods require that in the driftless case the increment distribution has exponentially decreasing tails and that the same is true for a transformed distribution in the case of negative drift.Here we take a different approach which will produce Green's results under minimal conditions. Limit theorems are given for the maximum as the initial position of the random walk tends to infinity.


1978 ◽  
Vol 15 (02) ◽  
pp. 292-299 ◽  
Author(s):  
Anthony G. Pakes

In a recent paper Green (1976) obtained some conditional limit theorems for the absorption time of left-continuous random walk. His methods require that in the driftless case the increment distribution has exponentially decreasing tails and that the same is true for a transformed distribution in the case of negative drift. Here we take a different approach which will produce Green's results under minimal conditions. Limit theorems are given for the maximum as the initial position of the random walk tends to infinity.


2003 ◽  
Vol 17 (3) ◽  
pp. 411-415
Author(s):  
Leendert A. Klein Haneveld

For a left-continuous random walk in an orthant with absorbing boundary, the generating function of the transition probabilities is determined by a well-known functional equation. We give a simple probabilistic derivation of this functional equation, which simultaneously proves the hitting point identity and Wald's exponential identity for the absorption time.


Author(s):  
Joseph Rudnick ◽  
George Gaspari
Keyword(s):  

1990 ◽  
Vol 51 (C1) ◽  
pp. C1-67-C1-69
Author(s):  
P. ARGYRAKIS ◽  
E. G. DONI ◽  
TH. SARIKOUDIS ◽  
A. HAIRIE ◽  
G. L. BLERIS
Keyword(s):  

2011 ◽  
Vol 181 (12) ◽  
pp. 1284 ◽  
Author(s):  
Andrei K. Geim
Keyword(s):  

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