Wald's equations, first passage times and moments of ladder variables in Markov random walks

被引：0

作者：

Fuh, CD ^{[1
]}

Lai, TL

机构：

[1] Acad Sinica, Inst Stat Sci, Taipei 11529, Taiwan

[2] Stanford Univ, Dept Stat, Stanford, CA 94305 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 1998年 / 35卷 / 03期

关键词：

first passage time; ladder height distribution; Wiener-Hopf factorization; Markov random walk; Wald's equations;

D O I：

暂无

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：

Previous work in extending Wald's equations to Markov random walks involves finiteness of moment generating functions and uniform recurrence assumptions. By using a new approach, we can remove these assumptions. The results are applied to establish finiteness of moments of ladder variables and to derive asymptotic expansions for expected first passage times of Markov random walks. Wiener-Hopf factorizations for Markov random walks are also applied to analyse ladder variables and related first passage problems.

引用

页码：566 / 580

页数：15

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