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Siberian Journal of Pure and Applied Mathematics, 2018, Volume 18, Issue 2, Pages 53–59
DOI: https://doi.org/10.17377/PAM.2018.18.6 (Mi vngu472) 		 
On the moment characteristics of ladder variables

V. I. Lotovab

a Novosibirsk State University, 1, Pirogova St., Novosibirsk 630090, Russia
b Sobolev Institute of Mathematics SB RAS, 4, Akad. Koptyuga pr., Novosibirsk 630090, Russia
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DOI: https://doi.org/10.17377/PAM.2018.18.6
Abstract: We present an algorithm for finding exact relations connecting the moments of ladder values with the moments of increments of a random walk. As an example, using this algorithm, we find the corresponding relations for moments of order no more than three. The algorithm is based on the use of properties of factorization identities.
Keywords: random walk, ladder epoch, ladder height, factorization method.
Funding agency Grant number
Russian Foundation for Basic Research 16-01-00049_а
The work was partially supported by the Russian Foundation for Basic Research (project No. 16-01-00049).
Received: 20.11.2017
English version:
Journal of Mathematical Sciences, 2020, Volume 246, Issue 6, Pages 793–799
DOI: https://doi.org/10.1007/s10958-020-04782-5
Document Type: Article
UDC: 519.21
Language: Russian
Citation: V. I. Lotov, “On the moment characteristics of ladder variables”, Sib. J. Pure and Appl. Math., 18:2 (2018), 53–59; J. Math. Sci., 246:6 (2020), 793–799
Citation in format AMSBIB
\Bibitem{Lot18}
\by V.~I.~Lotov
\paper On the moment characteristics of ladder variables
\jour Sib. J. Pure and Appl. Math.
\yr 2018
\vol 18
\issue 2
\pages 53--59
\mathnet{http://mi.mathnet.ru/vngu472}
\crossref{https://doi.org/10.17377/PAM.2018.18.6}
\transl
\jour J. Math. Sci.
\yr 2020
\vol 246
\issue 6
\pages 793--799
\crossref{https://doi.org/10.1007/s10958-020-04782-5}
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