Abstract:
Let ξ1,ξ2,… be independent identically destributed random variables, and let S0=0, Sn=∑ni=1ξi, T=min{n:Sn>0}, H=ST.
In the paper, the distributions of T and H are investigated.
Citation:
B. A. Rogozin, “The distribution of the first ladder moment and height and fluctuations of random walk”, Teor. Veroyatnost. i Primenen., 16:4 (1971), 593–613; Theory Probab. Appl., 16:4 (1971), 575–595
\Bibitem{Rog71}
\by B.~A.~Rogozin
\paper The distribution of the first ladder moment and height and fluctuations of random walk
\jour Teor. Veroyatnost. i Primenen.
\yr 1971
\vol 16
\issue 4
\pages 593--613
\mathnet{http://mi.mathnet.ru/tvp2321}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=290473}
\zmath{https://zbmath.org/?q=an:0269.60053}
\transl
\jour Theory Probab. Appl.
\yr 1971
\vol 16
\issue 4
\pages 575--595
\crossref{https://doi.org/10.1137/1116067}
Linking options:
https://www.mathnet.ru/eng/tvp2321
https://www.mathnet.ru/eng/tvp/v16/i4/p593
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