Exit times for a class of random walks exact distribution results

DOI10.1239/JAP/1318940455zbMATH Open1235.60046OpenAlexW2022470620MaRDI QIDQ3094473FDOQ3094473

Authors: Martin Jacobsen 

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1318940455

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zbMATH Keywords

overshootmean exit timetwo-sided exitpartial eigenfunctionone-sided exit

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

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• Exit time of a centered random walk from a cone
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