Conditional expected durations of play given the ultimate outcome for a correlated random walk

DOI10.1016/0167-7152(86)90096-9zbMATH Open0601.60073OpenAlexW1990334872MaRDI QIDQ1081213FDOQ1081213

David A. Steele, A. Mukherjea

Publication date: 1986

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(86)90096-9

zbMATH Keywords

symmetric correlated random walk with absorbing barriers

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Cites Work

• Conditional Expectation of the Duration in the Classical Ruin Problem
• The Classical Ruin Problem with Equal Initial Fortunes
• THE GAMBLER'S RUIN PROBLEM WITH CORRELATION
• Another look at independence of hitting place and time for the simple random walk
• Title not available (Why is that?)

Cited In (3)

• Optimal Buy/Sell Rules for Correlated Random Walks
• Title not available (Why is that?)
• Occupation probability of a correlated random walk and a correlated ruin problem

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