On some first-crossing-time probabilities for a two-dimensional random walk with correlated components
Keyword(s):
The Mean
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For a two-dimensional random walk {X (n) = (X(n) 1, X(n) 2 )T, n ∈ ℕ0} with correlated components the first-crossing-time probability problem through unit-slope straight lines x 2 = x 1 - r(r = 0,1) is analysed. The p.g.f.'s for the first-crossing-time probabilities are expressed as solutions of a fourth-degree algebraic equation and are then exploited to obtain the first-crossing-time probabilities. Several additional results, including the mean first-crossing time and the probability of ultimate crossing, are also given.
1965 ◽
Vol 287
(1409)
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pp. 165-182
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1974 ◽
Vol 11
(01)
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pp. 86-93
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1995 ◽
Vol 32
(02)
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pp. 316-336
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1966 ◽
Vol 25
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pp. 46-48
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