Problems in calculating moments and distribution functions of ladder heights

DOI10.1007/S10958-016-3021-9MaRDI QIDQ341803zbMATH OpenOpenAlexFDO

Authors T. V. Lazovskaya, S. V. Nagaev

Publication date 17 November 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-3021-9

zbMATH Keywords

characteristic functionmethod of momentsnumerical exampleChebyshev continued fractions methoddistribution functionsFa di Bruno formulasFrobenius equation

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Central limit and other weak theorems (60F05)

Recommendations

• Exact expressions for the moments of ladder heights
• On the moment characteristics of ladder variables
• scientific article; zbMATH DE number 3919471
• Asymptotic formulas for probabilities of large deviations of ladder heights
• On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results

Cites work

• scientific article; zbMATH DE number 3695547 (Why is no real title available?)
• Exact expressions for the moments of ladder heights
• Formula for the Laplace transform of the projection of a distribution on the positive semiaxis and some of its applications
• On some boundary crossing problems for Gaussian random walks

Cited in

(4)

• Properties of boundary functionals for a random walk with stable jump distributions
• On moments of ladder height variables
• Conditions for Finite Ladder Height and Delay Moments
• On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results

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