A note on summability of ladder heights and the distributions of ladder epochs for random walks

DOI10.1016/J.SPA.2011.04.009MaRDI QIDQ554446zbMATH OpenOpenAlexFDO

Authors Kohei Uchiyama

Publication date 4 August 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2011.04.009

zbMATH Keywords

potential functionSpitzer's conditionladder heightladder epoch

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probabilistic potential theory (60J45)

Recommendations

• scientific article; zbMATH DE number 1899874
• On the moments of ladder epochs for driftless random walks
• The ascending ladder height distribution for a certain class of dependent random walks
• On the ladder heights of random walks attracted to stable laws of exponent 1
• Tail behaviour of ladder-height distributions in random walks
• On moments of the first ladder height of random walks with small drift
• On the joint distribution of ladder variables of random walk

Cites work

• scientific article; zbMATH DE number 3484987 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• scientific article; zbMATH DE number 3194856 (Why is no real title available?)
• A Local Limit Theorem for Nonlattice Multi-Dimensional Distribution Functions
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• Infinite limits and infinite limit points of random walks and trimmed sums
• Local probabilities for random walks conditioned to stay positive
• On moments of ladder height variables
• On the asymptotic distribution of sums of independent identically distributed random variables
• On the behaviour of the characteristic function of a probability distribution in the neighbourhood of the origin
• On the exact asymptotic behaviour of the distribution of ladder epochs
• On the existence of the mean ladder height for random walk
• Stability of the overshoot for Lévy processes
• The Distribution of the First Ladder Moment and Height and Fluctuation of a Random Walk
• Wiener – hopf factorization revisited and some applications

Cited in

(11)

• On the mean value of the ladder epoch for random walks with a small drift
• The potential function and ladder heights of a recurrent random walk on \(\mathbb{Z}\) with infinite variance
• Multidimensional random walks conditioned to stay ordered via generalized ladder height functions
• On recurrence of the multidimensional Lindley process
• On moments of the first ladder height of random walks with small drift
• Power and exponential moments of the number of visits and related quantities for perturbed random walks
• Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
• Tail behaviour of ladder-height distributions in random walks
• On the ladder heights of random walks attracted to stable laws of exponent 1
• Ladder epochs and ladder chain of a Markov random walk with discrete driving chain
• scientific article; zbMATH DE number 5671275 (Why is no real title available?)

This page was built for publication: A note on summability of ladder heights and the distributions of ladder epochs for random walks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q554446)