On moments of ladder height variables (Q1079878)
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scientific article; zbMATH DE number 3965135
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On moments of ladder height variables |
scientific article; zbMATH DE number 3965135 |
Statements
On moments of ladder height variables (English)
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1986
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Let \(X_ 1,X_ 2,...,X_ n,..\). be i.i.d. random variables. Define \(S_ 0=0\), \(S_ n=X_ 1+...+X_ n\), \(N=\inf \{n\geq 1:\) \(S_ n\leq 0\}\). The author gives necessary and sufficient conditions in order that \(E| S_ N|^ p<\infty\) for \(p\geq 1\). He points out some problems. In particular, what is the necessary and sufficient condition for \(E| S_ N|^ p<\infty\) when \(0<p<1\).
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ladder height variables
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Tauberian argument
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negative-drift random walk
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0.9385841
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0.9305656
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0.9286722
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0.9254086
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0.92120034
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0.89922065
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0.85649925
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