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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2023, Volume 20, Issue 1, Pages 455–464
DOI: https://doi.org/10.33048/semi.2023.20.026 (Mi semr1590) 		 
Probability theory and mathematical statistics

Properties of boundary functionals for a random walk with stable jump distributions

V. I. Lotov

Sobolev Institute of Mathematics, pr. Koptyuga, 4, 630090, Novosibirsk, Russia
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DOI: https://doi.org/10.33048/semi.2023.20.026
Abstract: For a random walk with jumps having strictly stable distributions, we obtain theorems that characterize properties of ladder epochs and ladder heights. We also give exact expressions for the distribution of the sojourn time of the random walk trajectory on the positive semi-axis for a finite number of steps.
Keywords: random walk, ladder epoch, ladder height, strictly stable distribution, sojourn time on the semi-axis.
Funding agency Grant number
Ministry of Science and Higher Education of the Russian Federation FWNF-2022-0010
Received January 18, 2023, published July 3, 2023
Document Type: Article
UDC: 519.21
MSC: 60G50
Language: Russian
Citation: V. I. Lotov, “Properties of boundary functionals for a random walk with stable jump distributions”, Sib. Èlektron. Mat. Izv., 20:1 (2023), 455–464
Citation in format AMSBIB
\Bibitem{Lot23}
\by V.~I.~Lotov
\paper Properties of boundary functionals for a random walk with stable jump distributions
\jour Sib. \`Elektron. Mat. Izv.
\yr 2023
\vol 20
\issue 1
\pages 455--464
\mathnet{http://mi.mathnet.ru/semr1590}
\crossref{https://doi.org/10.33048/semi.2023.20.026}
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