Exponential moments of first passage times and related quantities for random walks

Details Exponential moments of first passage times and related quantities for random walks Exponential moments of first passage times and related quantities for random walks

2010-05-28

arxiv.org/abs/1005.5260v1

Electron. Commun. Probab. 15 (2010), 365-375

Mathematics

Probability

Scientific paper

For a zero-delayed random walk on the real line, let $\tau(x)$, $N(x)$ and $\rho(x)$ denote the first passage time into the interval $(x,\infty)$, the number of visits to the interval $(-\infty,x]$ and the last exit time from $(-\infty,x]$, respectively. In the present paper, we provide ultimate criteria for the finiteness of exponential moments of these quantities. Moreover, whenever these moments are finite, we derive their asymptotic behaviour, as $x \to \infty$.

Affiliated with

Also associated with

No associations

Rating

Exponential moments of first passage times and related quantities for random walks does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Exponential moments of first passage times and related quantities for random walks, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exponential moments of first passage times and related quantities for random walks will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-15871