Exact expressions for moments of ladder heights (Q542288): Difference between revisions
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Revision as of 04:10, 4 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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