Exit times for a class of random walks exact distribution results

DOI10.1239/JAP/1318940455MaRDI QIDQ3094473zbMATH OpenOpenAlexFDO

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

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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Cited in

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• From pseudorandom walk to pseudo-Brownian motion: first exit time from a one-sided or a two-sided interval
• Exit times for a discrete Markov additive process
• Entrance times of random walks: with applications to pension fund modeling
• A random walk with a skip-free component and the Lagrange inversion formula
• Integrability of exit times and ballisticity for random walks in Dirichlet environment
• Approximation of the expectation of the first exit time from an interval for a random walk
• Lévy processes, phase-type distributions, and martingales
• Quenched exit times for random walk on dynamical percolation
• On exit times of multivariate random walk with some applications to finance
• Fluctuations of an omega-type killed process in discrete time
• On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
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• Two-boundary problems for a random walk
• Last exit times for random walks
• On the Exit of One Class of Random Walks from an Interval
• Exit time of a centered random walk from a cone
• Branching random walk with trapping zones
• scientific article; zbMATH DE number 3881615 (Why is no real title available?)
• On the exit time of a random walk with positive drift
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier

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