EXPONENTIAL MOMENTS OF FIRST PASSAGE TIMES AND RELATED QUANTITIES FOR RANDOM WALKS

被引：4
|
作者：
Iksanov, Alexander [1 ]
Meiners, Matthias [2 ]
机构：
[1] Natl T Shevchenko Univ Kiev, Fac Cybernet, Kiev, Ukraine
[2] Uppsala Univ, Dept Math, S-75106 Uppsala, Sweden
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2010年 / 15卷
关键词：
first-passage time; last exit time; number of visits; random walk; renewal theory;
D O I：
10.1214/ECP.v15-1569
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：
For a zero-delayed random walk on the real line, let tau(x), N(x) and rho(x) denote the first passage time into the interval (x,infinity), the number of visits to the interval (-infinity,x] and the last exit time from (-infinity,x], respectively. In the present paper, we provide ultimate criteria for the finiteness of exponential moments of these quantities. Moreover, whenever these moments are finite, we derive their asymptotic behaviour, as x -> infinity.
引用
收藏
页码：365 / 375
页数：11
相关论文
共 50 条
12345