A note on Spitzer identity for random walk

DOI10.1016/j.spl.2007.05.025zbMath1133.60323OpenAlexW1967415905MaRDI QIDQ2476817

Aimé Lachal

Publication date: 12 March 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.025

zbMATH Keywords

Laplace-Fourier transformErlang distributionSpitzer identity

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Joint distribution of the first hitting time and first hitting place for a random walk
• On the joint distribution of the first hitting time and the first hitting place to the space-time wedge domain of a biharmonic pseudo process
• What is the Laplace Transform?

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