Exact expressions for the moments of ladder heights

DOI10.1007/s11202-010-0069-5zbMath1219.60047OpenAlexW1988409161MaRDI QIDQ630294

Sergei Nagaev

Publication date: 17 March 2011

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11202-010-0069-5

zbMATH Keywords

Laplace transformBruno formulaharmonic renewal measureSpitzer seriesWiener-Hopf identity

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50)

Related Items (3)

Problems in calculating moments and distribution functions of ladder heights ⋮ Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula ⋮ An Estimate for the Sum of the Spitzer Series and Its Generalization

Cites Work

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• 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
• Some theorems on harmonic renewal measures
• Asymptotic moments of random walks with applications to ladder variables and renewal theory
• On calculation of moments of ladder heights
• Moments of ladder variables for driftless random walks
• On a Method of Calculating Moments of Ladder Heights
• Moments of ladder heights in random walks
• A Tauberian Theorem and Its Probability Interpretation

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