On moments of ladder height variables (Q1079878)

From MaRDI portal
Revision as of 15:06, 12 July 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)





scientific article
Language Label Description Also known as
English
On moments of ladder height variables
scientific article

    Statements

    On moments of ladder height variables (English)
    0 references
    0 references
    1986
    0 references
    Let \(X_ 1,X_ 2,...,X_ n,..\). be i.i.d. random variables. Define \(S_ 0=0\), \(S_ n=X_ 1+...+X_ n\), \(N=\inf \{n\geq 1:\) \(S_ n\leq 0\}\). The author gives necessary and sufficient conditions in order that \(E| S_ N|^ p<\infty\) for \(p\geq 1\). He points out some problems. In particular, what is the necessary and sufficient condition for \(E| S_ N|^ p<\infty\) when \(0<p<1\).
    0 references
    ladder height variables
    0 references
    Tauberian argument
    0 references
    negative-drift random walk
    0 references

    Identifiers