Joint distribution of the first hitting time and first hitting place for a random walk (Q1282082)
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English | Joint distribution of the first hitting time and first hitting place for a random walk |
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Joint distribution of the first hitting time and first hitting place for a random walk (English)
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29 September 1999
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\textit{W. Feller} [``An introduction to probability theory and its applications. Vol. II'' (1971; Zbl 0219.60003)] gave a general formula to calculate the Laplace-Fourier transform of a joint distribution of the first hitting time and the first hitting place of \((-\infty,0)\) for a general random walk on the real line starting from 0. The present paper obtains a representation of Laplace-Fourier transform of the joint distribution of the first hitting time and the first hitting place of the set \((-\infty,-a)\) \((a>0)\), which gives a relation to the above mentioned Feller's result, i.e. with the joint distribution of those of the set \((-\infty,0)\). The leading idea is the Wiener-Hopf's factorization theorem. The result is applied to a random walk example frequently occurring in queueing theory.
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random walk
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queueing theory
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joint distribution
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first hitting time
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first hitting place
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Laplace-Fourier transform
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