Exact expressions for the moments of ladder heights (Q630294)

Let \(X_1, X_2,\dots, X_n,\dots\) be a sequence of independent identically distributed random variables with distribution function \(F(x)\), characteristic function \(f(t)\) and expectation \(EX_1\). Define the random walk \(S_n\) with steps \(X_1, X_2,\dots\) by \[ S_n= \sum^n_{i=1} X_i,\quad n= 1,2,\dots. \] Put \(N^+= \min\{n\mid S_n> 0\}\). (If the set is empty define \(N^+=\infty\).) The ascending ladder height is the (possibly defective) random variable \(Z_+:= S_{N^+}\) which is well-defined on \(\{N^+<\infty\}\). The descending ladder height \(Z_-\) is defined analogously. The author's abstract: ``With the aid of the formula for the Laplace transform of a contraction of a distribution on the positive semi-axis the formulas for moments of the ascending ladder height are deduced for each of the three cases: the null, positive and negative expectation of a step in the random walk. The results are formulated in terms of the moments and integral functionals of the characteristic function of the step function. Despite the complexity of the proof the final results are comparatively simple.'' The results were announced in a note by the author in [Dokl. Math. 78, No. 3, 916--919 (2008); translation from Dokl. Akad. Nauk., Ross. Akad. Nauk. 423, No. 6, 733--736 (2008; Zbl 1232.60034)].