On the existence of the mean ladder height for random walk

1982 ◽  
Vol 59 (3) ◽  
pp. 373-382 ◽  
Author(s):  
R. A. Doney
Keyword(s):  
2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Nikolaos Halidias

Abstract In this note we study the probability and the mean time for absorption for discrete time Markov chains. In particular, we are interested in estimating the mean time for absorption when absorption is not certain and connect it with some other known results. Computing a suitable probability generating function, we are able to estimate the mean time for absorption when absorption is not certain giving some applications concerning the random walk. Furthermore, we investigate the probability for a Markov chain to reach a set A before reach B generalizing this result for a sequence of sets A 1 , A 2 , … , A k {A_{1},A_{2},\dots,A_{k}} .


1979 ◽  
Vol 11 (4) ◽  
pp. 701-719 ◽  
Author(s):  
D. Siegmund

Correction terms are obtained for the diffusion approximation to one- and two-barrier ruin problems in finite and infinite time. The corrections involve moments of ladder-height distributions, and a method is given for calculating them numerically. Examples show that the corrected approximations can be much more accurate than the originals.


2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Ho-Kwok Dai ◽  
Hung-Chi Su

International audience A discrete space-filling curve provides a linear traversal/indexing of a multi-dimensional grid space.This paper presents an application of random walk to the study of inter-clustering of space-filling curves and an analytical study on the inter-clustering performances of 2-dimensional Hilbert and z-order curve families.Two underlying measures are employed: the mean inter-cluster distance over all inter-cluster gaps and the mean total inter-cluster distance over all subgrids.We show how approximating the mean inter-cluster distance statistics of continuous multi-dimensional space-filling curves fits into the formalism of random walk, and derive the exact formulas for the two statistics for both curve families.The excellent agreement in the approximate and true mean inter-cluster distance statistics suggests that the random walk may furnish an effective model to develop approximations to clustering and locality statistics for space-filling curves.Based upon the analytical results, the asymptotic comparisons indicate that z-order curve family performs better than Hilbert curve family with respect to both statistics.


2016 ◽  
Vol 48 (3) ◽  
pp. 744-767
Author(s):  
Clifford Hurvich ◽  
Josh Reed

AbstractWe study random walks whose increments are α-stable distributions with shape parameter 1<α<2. Specifically, assuming a mean increment size which is negative, we provide series expansions in terms of the mean increment size for the probability that the all-time maximum of an α-stable random walk is equal to 0 and, in the totally skewed-to-the-left case of skewness parameter β=-1, for the expected value of the all-time maximum of an α-stable random walk. Our series expansions generalize previous results for Gaussian random walks. Key ingredients in our proofs are Spitzer's identity for random walks, the stability property of α-stable random variables, and Zolotarev's integral representation for the cumulative distribution function of an α-stable random variable. We also discuss an application of our results to a problem arising in queueing theory.


1993 ◽  
Vol 157 ◽  
pp. 71-75
Author(s):  
P. Hoyng

I consider the effect of rapid fluctuations in the mean helicity on a plane dynamo wave in the αω-approximation and in the weak forcing limit. The phase shift and the logarithmic amplitude of the wave exhibit a correlated random walk, so that weaker (stronger) cycles last longer (shorter). The solar cycle data follow this prediction rather well. Mean helicity fluctuations are concluded to be an important source of solar cycle variability.


2019 ◽  
Vol 2019 ◽  
pp. 1-5
Author(s):  
Long Shi

In this work, a generalization of continuous time random walk is considered, where the waiting times among the subsequent jumps are power-law correlated with kernel function M(t)=tρ(ρ>-1). In a continuum limit, the correlated continuous time random walk converges in distribution a subordinated process. The mean square displacement of the proposed process is computed, which is of the form 〈x2(t)〉∝tH=t1/(1+ρ+1/α). The anomy exponent H varies from α to α/(1+α) when -1<ρ<0 and from α/(1+α) to 0 when ρ>0. The generalized diffusion equation of the process is also derived, which has a unified form for the above two cases.


2004 ◽  
Vol 218 (9) ◽  
pp. 1033-1040 ◽  
Author(s):  
M. Šolc ◽  
J. Hostomský

AbstractWe present a numerical study of equilibrium composition fluctuations in a system where the reaction X1 ⇔ X2 having the equilibrium constant equal to 1 takes place. The total number of reacting particles is N. On a discrete time scale, the amplitude of a fluctuation having the lifetime 2r reaction events is defined as the difference between the number of particles X1 in the microstate most distant from the microstate N/2 visited at least once during the fluctuation lifetime, and the equilibrium number of particles X1, N/2. On the discrete time scale, the mean value of this amplitude, m̅(r̅), is calculated in the random walk approximation. On a continuous time scale, the average amplitude of fluctuations chosen randomly and regardless of their lifetime from an ensemble of fluctuations occurring within the time interval (0,z), z → ∞, tends with increasing N to ~1.243 N0.25. Introducing a fraction of fluctuation lifetime during which the composition of the system spends below the mean amplitude m̅(r̅), we obtain a value of the mean amplitude of equilibrium fluctuations on the continuous time scale equal to ~1.19√N. The results suggest that using the random walk value m̅(r̅) and taking into account a) the exponential density of fluctuations lifetimes and b) the fact that the time sequence of reaction events represents the Poisson process, we obtain values of fluctuations amplitudes which differ only slightly from those derived for the Ehrenfest model.


1998 ◽  
Vol 30 (2) ◽  
pp. 342-364 ◽  
Author(s):  
Howard M. Taylor ◽  
Dennis E. Sweitzer

Consider a network whose nodes are the integer lattice points and whose arcs are fuses of 1Ω resistance. Remove a horizontal segment ofNadjacent vertical arcs, forming a ‘crack’ of lengthN. Subject the network to a uniform potential gradient ofvvolts per arc in the north-south (or vertical) direction and measure the current in one of the two vertical arcs at the ends of the crack. We write this current in the forme(N)v, and calle(N) thecurrent enhancement.We show that the enhancement grows at a rate that is the order of the square root of the crack length. Our method is to identify the enhancement with the mean time to exit an interval for a certain integer valued random walk, and then to use some of the well-known Fourier methods for studying random walk. Our random walk has no mean or higher moments and is in the domain of attraction of the Cauchy law. We provide a good approximation to the enhancement using the explicitly known mean time to exit an interval for a Cauchy process. Weak convergence arguments together with an estimate of a recurrence probability enable us to show that the current in an intact fuse, that is in the interior of a crack of lengthN, grows p roportionally withN/logN.


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