Occupation probability of a correlated random walk and a correlated ruin problem

DOI10.1016/0167-7152(87)90064-2zbMath0613.60063OpenAlexW2008250958MaRDI QIDQ1819472

David A. Steele, Arunava Mukherjea

Publication date: 1987

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(87)90064-2

zbMATH Keywords

ruin probabilities

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Related Items (3)

Optimal stopping rules for correlated random walks with a discount ⋮ Limit Theorems and Absorption Problems for One-Dimensional Correlated Random Walks ⋮ Optimal Buy/Sell Rules for Correlated Random Walks

Cites Work

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• Transition probability matrices for correlated random walks
• The correlated random walk
• A random walk problem with correlation
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION

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