The maximum and time to absorption of a left-continuous random walk
Keyword(s):
For a left-continuous random walk, absorbing at 0, the joint distribution of the maximum and time to absorption is derived. A description of the tails of the distributions and a conditional limit theorem are obtained for the cases where absorption is certain.
1976 ◽
Vol 13
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pp. 444-454
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1995 ◽
Vol 50
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pp. 446-448
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2003 ◽
Vol DMTCS Proceedings vol. AC,...
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2006 ◽
Vol 116
(4)
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pp. 539-567
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2014 ◽
Vol 58
(4)
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pp. 525-545
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1991 ◽
Vol 35
(2)
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pp. 330-336
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1987 ◽
Vol 15
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pp. 1052-1061
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1995 ◽
Vol 186
(3)
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pp. 371-389
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2007 ◽
Vol 44
(03)
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pp. 753-769
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