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Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 3, Pages 588–592
(Mi tvp1097)
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This article is cited in 2 scientific papers (total in 2 papers)
Short Communications
Limit distribution for a random walk with absorption
A. V. Pečinkin Moscow
Abstract:
Let $\xi_1,\xi_2,\dots$ are independent identically distributed random variables, $\mathbf M\xi_1=0$,
$\mathbf D\xi_1=1$ and
$$
S_n=n^{-1/2}(\xi_1+\dots+\xi_n),\qquad\nu=\min\{n:S_n<0\}.
$$
We show that
$$
\mathbf P\{S_\nu<x\mid\nu>n\}\to V(x),\qquad\mathbf P\{S_n<x\mid\nu>n\}\to 1-e^{-x^2/2}.
$$
Received: 03.04.1978
Citation:
A. V. Pečinkin, “Limit distribution for a random walk with absorption”, Teor. Veroyatnost. i Primenen., 25:3 (1980), 588–592; Theory Probab. Appl., 25:3 (1981), 580–584
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https://www.mathnet.ru/eng/tvp1097 https://www.mathnet.ru/eng/tvp/v25/i3/p588
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Abstract page: | 235 | Full-text PDF : | 137 | First page: | 1 |
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