Fluctuation Identities Applied to the Hitting Time of a Half-line in the Plane

被引：3

作者：

Isozaki, Yasuki ^{[1
]}

机构：

[1] Osaka Univ, Grad Sch Sci, Dept Math, Osaka 5600043, Japan

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2009年 / 22卷 / 01期

基金：

日本学术振兴会;

关键词：

First hitting times; Fluctuation identities; Random walks; Asymptotic estimates; RANDOM-WALK; FUNCTIONALS;

D O I：

10.1007/s10959-008-0192-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study asymptotic estimates that contain the hitting time and the hitting place of a half-line by a two-dimensional random walk. Fluctuation identities are used without resorting to pair annihilation but by interchanging summation and integration. The same method applies to the hitting of the half-space by a one-dimensional random walk.

引用

页码：57 / 81

页数：25

共 7 条

[1] [Anonymous], 1976, Principles of Random Walk
[2] Hitting time of a half-line by two-dimensional random walk
Fukai, Y
[J]. PROBABILITY THEORY AND RELATED FIELDS, 2004, 128 (03) : 323 - 346
[3] Gradshteyn S., 2014, Table of Integrals, Series, and Products, V8th
[4] Asymptotic estimates for the distribution of additive functionals of Brownian motion by the Wiener-Hopf factorization method
Isozaki, Y
[J]. JOURNAL OF MATHEMATICS OF KYOTO UNIVERSITY, 1996, 36 (01): : 211 - 227
[5] Lawler G.F., 1991, Intersections of Random Walks
[6] Prabhu N.U., 1965, STOCHASTIC PROCESSES
[7] DISTRIBUTION OF SOME FUNCTIONALS OF THE INTEGRAL OF A RANDOM-WALK
SINAI, YG
[J]. THEORETICAL AND MATHEMATICAL PHYSICS, 1992, 90 (03) : 219 - 241

← 1 →