Moment Convergence of Reciprocals of some First Passage Times

DOI10.1080/01966324.1991.10737301MaRDI QIDQ3988376zbMATH OpenOpenAlexWikidataFDO

Authors Yuan-Shih Chow

Publication date 28 June 1992

Published in American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01966324.1991.10737301

zbMATH Keywords

asymptotic efficiencyfirst passage timerandom walks with nonnegative driftsuniformly integrable

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Recommendations

• On the asymptotic behaviour of first passage times for transient random walk
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Cites work

• A renewal theorem for curved boundaries and moments of first passage times
• Asymptotic moments of random walks with applications to ladder variables and renewal theory
• Extended renewal theory and moment convergence in Anscombe's theorem
• Moments of ladder variables for driftless random walks
• On certain limit theorems of the theory of probability
• On the moments and limit distributions of some first passage times
• On the Supremum of S_n/n
• Paley-type inequalities and convergence rates related to the law of large numbers and extended renewal theory
• Some Renewal Theorems with Application to a First Passage Problem
• The Variance of One-Sided Stopping Rules

Cited in

(3)

• Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift
• Distance entre le premier et le dernier temps de passage à un niveau donné d'un processus de sommes partielles
• Tracking a random walk first-passage time through noisy observations

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