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

DOI10.2307/1427253zbMATH Open0612.60060OpenAlexW2335446032MaRDI QIDQ3753210FDOQ3753210

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

Recommendations

• scientific article; zbMATH DE number 468915
• Exponential moments of first passage times and related quantities for random walks
• On the moments of ladder epochs for driftless random walks
• Two renewal theorems for general random walks tending to infinity
• Moment Convergence of Reciprocals of some First Passage Times

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)

Cited In (28)

• Renewal theory for asymmetric \(U\)-statistics
• A model for level induced conditional heteroskedasticity
• The overshoot of a random walk with negative drift
• Bridging the first and last passage times for Lévy models
• A new proof of finite moment conditions for GI/G/1 busy periods
• Power and exponential moments of the number of visits and related quantities for perturbed random walks
• Recurrence of two-dimensional queueing processes, and random walk exit times from the quadrant
• Stochastic bounds for Lévy processes.
• Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity
• An Almost-Sure Renewal Theorem for Branching Random Walks on the Line
• Stochastic Inventory Models with Limited Production Capacity and Periodically Varying Parameters
• Title not available (Why is that?)
• Markov renewal theory for stationary \((m + 1)\)-block factors: convergence rate results.
• The expected discounted penalty function under a risk model with stochastic income
• Quickest detection with exponential penalty for delay
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• Last exit times for random walks
• Random walks with sticky barriers
• Asymptotic estimates of multi-dimensional stable densities and their applications
• The Uniform Asymptotics of the Overshoot of a Random Walk with Light-Tailed Increments
• Fluctuation theory for Markov random walks
• Submultiplicative moments of the supremum of a random walk with negative drift
• Moment Convergence of Reciprocals of some First Passage Times
• Curve crossing for random walks reflected at their maximum
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
• On the existence of moments of ladder heights

This page was built for publication: Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3753210)