A characterization of first passage time distributions for random walks (Q1180175)

For a random walk on the integer lattice \(\mathbb{Z}\) let \(T_{nm}\) be the first passage time from state \(n\) to state \(m\) (\(n,m\in\mathbb{Z}\)). It is shown that \(T_{nm}\) is distributed as the sum \(2(X+Y)+n-m\) with independent random variables \(X\) and \(Y\). The distribution of \(X\) is a mixture, that of \(Y\) a convolution of geometric distributions. It is also shown that this decomposition is characteristic for first passage time distributions. This extends a result of \textit{J. Keilson} [Stat. Neerl. 35, 49-55 (1981; Zbl 0453.60074)] for birth and death processes to the discrete time case.