Distribution of some functionals of the integral of a random walk
A random integer-valued sequence (integral) is considered. Its increments form a simplest random walk generated by independent random values taking the values \(\pm 1\) with probabilities 1/2. A mutual distribution both for the first positive hitting time of the zero point for the random walk and for the value of the integral sequence at this time is investigated. On the basis of an author's formula for the mutual generating function of these two random variables the distribution of the first hitting time of the zero point for the integral sequence is estimated. Corresponding results are obtained for a random process which is an integral of the Wiener process. A positive probability for this integral process not to intersect the parabola \(-r + at - st^ 2\) \((t>0)\) with \(r,s>0\) is estimated.
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