The maximum and time to absorption of a left-continuous random walk

Green, PJ

The maximum and time to absorption of a left-continuous random walk

Green, PJ

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Publisher:: Applied Probability Trust
Publication Type:: Journal Article
Citation:: Journal Of Applied Probability, 1976, 13 (3), pp. 444 - 454
Issue Date:: 1976-01

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Field	Value	Language
dc.contributor.author	Green, PJ https://orcid.org/0000-0002-4367-4756	en_US
dc.date.issued	1976-01	en_US
dc.identifier.citation	Journal Of Applied Probability, 1976, 13 (3), pp. 444 - 454	en_US
dc.identifier.issn	0021-9002	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14541
dc.description.abstract	For a left-continuous random walk, absorbing at 0, the joint distribution of the maximum and time to absorption is derived. A description of the tails of the distributions and a conditional limit theorem are obtained for the cases where absorption is certain.	en_US
dc.publisher	Applied Probability Trust	en_US
dc.relation.ispartof	Journal Of Applied Probability	en_US
dc.relation.isbasedon	10.2307/3212464	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	The maximum and time to absorption of a left-continuous random walk	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	13	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	3	en_US
pubs.volume	13	en_US

Abstract:

For a left-continuous random walk, absorbing at 0, the joint distribution of the maximum and time to absorption is derived. A description of the tails of the distributions and a conditional limit theorem are obtained for the cases where absorption is certain.

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http://hdl.handle.net/10453/14541