A note on the distance of ladder height distributions (Q1084763)
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English | A note on the distance of ladder height distributions |
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A note on the distance of ladder height distributions (English)
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1986
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Let \(S_ 0=0\), \(S_ 1,S_ 2,..\). be a random walk with step distribution \(\mu\), let \(\mu_+\) denote the (possibly defective) distribution of the first ascending ladder height \(Y_+:\) \(Y_+=S_{\tau_+}\) on \(\{\tau_+<\infty \}\), where \(\tau_+=\inf \{n>0:\) \(S_ n>0\}\) (inf \(\emptyset =\infty).\) Given two such processes with step distributions \(\mu_ 1\) and \(\mu_ 2\) respectively we obtain an estimate for the distance of \(\mu_{1+}\) and \(\mu_{2+}\) in terms of the characteristic functions of \(\mu_ 1\) and \(\mu_ 2\).
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harmonic renewal measures
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ladder height
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characteristic functions
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