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

(28)

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• Renewal theory for asymmetric \(U\)-statistics
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• A new proof of finite moment conditions for GI/G/1 busy periods
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• 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
• Stochastic Inventory Models with Limited Production Capacity and Periodically Varying Parameters
• Markov renewal theory for stationary \((m + 1)\)-block factors: convergence rate results.
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• 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
• An almost-sure renewal theorem for branching random walks on the line
• 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
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
• Asymptotics for the moments of the overshoot and undershoot of a random walk

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