The length of an excursion above a linear boundary by a random walk

DOI10.1016/S0167-7152(96)00207-6MaRDI QIDQ1365176zbMATH OpenOpenAlexFDO

Authors Travis Lee, Max Minzner, Evan Fisher

Publication date 28 August 1997

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(96)00207-6

zbMATH Keywords

excursionladder epochrandom walk

Mathematics Subject Classification ID

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

Review text

As follows from the definition, the length of an excursion considered in the article equals the first ladder epoch for some other random walk minus one. The authors give some relations for the distribution and expectation of the length of an excursion.

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Cites work

• scientific article; zbMATH DE number 107539 (Why is no real title available?)
• scientific article; zbMATH DE number 6846220 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• On random walks and levels of the form n^
• The distribution of the finitely many times in the strong law of large numbers

Cited in

(5)

• Excursions of a normal random walk above a boundary
• The tail of the length of an excursion in a trap of random size
• On the first positive and negative excursion exceeding a given length
• scientific article; zbMATH DE number 5173438 (Why is no real title available?)
• Walking to infinity on gaussian lines

Describes a project that uses

Uses Software

• Mathematica

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