Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift

DOI10.2307/1427253MaRDI QIDQ3753210zbMATH OpenOpenAlexFDO

Authors Svante Janson

Publication date 1986

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427253

zbMATH Keywords

first-passage timelast-exit timenecessary and sufficient conditions for the existence of the moments of various random quantities

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

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Cited in

(31)

• The expected discounted penalty function under a risk model with stochastic income
• A new proof of finite moment conditions for GI/G/1 busy periods
• Last exit times for random walks
• Quickest detection with exponential penalty for delay
• Submultiplicative moments of the supremum of a random walk with negative drift
• Renewal theory for asymmetric \(U\)-statistics
• A model for level induced conditional heteroskedasticity
• Markov renewal theory for stationary \((m + 1)\)-block factors: convergence rate results.
• Fluctuation theory for Markov random walks
• Stochastic bounds for Lévy processes.
• Two renewal theorems for general random walks tending to infinity
• Recurrence of two-dimensional queueing processes, and random walk exit times from the quadrant
• Random walks with sticky barriers
• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• Power and exponential moments of the number of visits and related quantities for perturbed random walks
• Curve crossing for random walks reflected at their maximum
• On the existence of moments of ladder heights
• Bridging the first and last passage times for Lévy models
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• Asymptotic estimates of multi-dimensional stable densities and their applications
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
• Moment Convergence of Reciprocals of some First Passage Times
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• scientific article; zbMATH DE number 468915 (Why is no real title available?)
• The uniform asymptotics of the overshoot of a random walk with light-tailed increments
• An almost-sure renewal theorem for branching random walks on the line
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Stochastic Inventory Models with Limited Production Capacity and Periodically Varying Parameters
• Optimal prediction of the last r-excursion time of Brownian motion models
• Last passage times for generalized drawdown processes with applications
• The overshoot of a random walk with negative drift

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