| Título: | Exponential Moments of First Passage Times and Related Quantities for Random Walks |
| Autores: |
Iksanov, Alexander; National T. Shevchenko University of Kiev Meiners, Matthias; Uppsala University |
| Fecha: | 2010-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
first-passage time, last exit time, number of visits, random walk, renewal theory 60K05; 60G40 |
| Descripción: | For a zero-delayed random walk on the real line, let $τ(x)$, $N(x)$ and $ρ(x)$ denote the first passage time into the interval $(x,∞)$, the number of visits to the interval $(-∞,x]$ and the last exit time from $(-∞,x]$, respectively. In the present paper, we provide ultimate criteria for the finiteness of exponential moments of these quantities. Moreover, whenever these moments are finite, we derive their asymptotic behaviour, as $x → ∞$. |
| Idioma: | No aplica |
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