Exact expressions for moments of ladder heights (Q542288): Difference between revisions
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Property / author: Sergei Nagaev / rank | |||
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Property / reviewed by: Aleksander M. Iksanov / rank | |||
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Property / cites work: Q5538132 / rank | |||
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Property / cites work: Moments of ladder variables for driftless random walks / rank | |||
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Property / cites work: Asymptotic moments of random walks with applications to ladder variables and renewal theory / rank | |||
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Property / cites work: Q3243274 / rank | |||
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Property / full work available at URL: https://doi.org/10.1134/s106456240806029x / rank | |||
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Latest revision as of 10:25, 30 July 2024
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English | Exact expressions for moments of ladder heights |
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Exact expressions for moments of ladder heights (English)
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8 June 2011
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Let \((S_n)_{n\geq 0}\) be a zero-delayed random walk with i.i.d. increments. The paper provides explicit expressions for \(\operatorname{E}Z^m\), \(m\in\mathbb{N}\), where \(Z\) is the first ladder height. These expressions take different forms depending on whether \(\operatorname{E}S_1<0\), \(=0\), or \(>0\). Although the resulting formulae are complicated, they represent the moments of the ladder height in terms of the distribution of \(S_1\) which form the main achievement of the paper. Remark. The paper only announces results. No proofs are given.
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characteristic function
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ladder height
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random walk
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