Two renewal theorems for general random walks tending to infinity

DOI10.1007/s004400050056zbMath0855.60080OpenAlexW2093854012MaRDI QIDQ1924275

Harry Kesten, Ross A. Maller

Publication date: 14 January 1997

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050056

zbMATH Keywords

renewal theorylast exit timesapplications in option pricingfirst passage time of a random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

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