SOME RESULTS FOR SKIP-FREE RANDOM WALK

DOI10.1017/S0269964810000136MaRDI QIDQ3087800zbMATH OpenOpenAlexFDO

Authors Mark Brown, Erol A. Peköz, Sheldon M. Ross

Publication date 17 August 2011

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964810000136

zbMATH Keywords

first hitting timelast hitting timerandom walk

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• CONDITIONED MARKOV PROCESSES
• Finite Markov chain models skip-free in one direction
• General branching processes conditioned on extinction are still branching processes
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Identifying Coefficients in the Spectral Representation for First Passage Time Distributions
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Probability and random processes.

Cited in

(14)

• A limit theory for random skip lists
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• Parking on a random rooted plane tree
• A random walk with a skip-free component and the Lagrange inversion formula
• Gambler's ruin: the duration of play
• Small drift limit theorems for random walks
• On crossing times for multidimensional walks with skip-free components
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Parking on a random tree
• DES and RES processes and their explicit solutions
• Harmonic functions for singular quadrant walks
• Sterile versus prolific individuals pertaining to linear-fractional Bienaymé-Galton-Watson trees
• Fluctuations of an omega-type killed process in discrete time
• Left-continuous random walk on \({\mathbb{Z}}\) and the parity of its hitting times

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