A further study of an approximation for last-exit and first-passage probabilities of a random walk (Q1344657)

The paper studies integer-valued random walks with arbitrary positive and negative jumps. Using Feller's ladder variable argument for the right- continuous case one goes to determine last-exit probabilities for certain random walks without either left- or right-continuity properties and studies also similar approximation for first-passage probabilities for which heuristic justification is less appealing. The argument centers on the use of ladder variables, the identities are known to hold asymptotically from the work of Iglehart leading to Brownian meanders.