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

DOI10.1155/S104895339400033XMaRDI QIDQ1344657zbMATH OpenFDO

Authors L. D. Servi, D. J. Daley

Publication date 31 August 1995

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47232

zbMATH Keywords

Feller's ladder variable argumentfirst-passage timelast-exit timerandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25)

Review text

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.

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Cited in

(3)

• Last exit times for random walks
• A note on the times of first passage for `nearly right-continuous' random walks
• Approximating last-exit probabilities of a random walk, by application to conditional queue length moments within busy periods of M/GI/1 queues

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