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Teoriya Veroyatnostei i ee Primeneniya, 1973, Volume 18, Issue 1, Pages 203–206
(Mi tvp2701)
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This article is cited in 2 scientific papers (total in 2 papers)
Short Communications
On property of “waiting process”
V. A. Labkovskii Moscow
Abstract:
Let $X_1,X_2,\dots$ be i.i.d. integer random variables with $-\infty\le\mathbf EX_1<0$ and $\mathbf P\{X_1>0\}>0$. Consider the process $W_t$, $t=0,1,\dots$, defined by formula:
$$
W_0=0,\quad W_{t+1}=\max\{W_t+X_{t+1};0\},
$$
and its passage time $\tau(N)=\min\{t\colon W_t\ge N\}$, $N=1,2,\dots$. In this paper the existence of $\lim\sqrt[N]{\mathbf E\tau(N)}$ is proved, and its value is found.
Received: 14.03.1972
Citation:
V. A. Labkovskii, “On property of “waiting process””, Teor. Veroyatnost. i Primenen., 18:1 (1973), 203–206; Theory Probab. Appl., 18:1 (1973), 196–198
Linking options:
https://www.mathnet.ru/eng/tvp2701 https://www.mathnet.ru/eng/tvp/v18/i1/p203
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