SOME RESULTS FOR SKIP-FREE RANDOM WALK

DOI10.1017/S0269964810000136zbMath1237.60035OpenAlexW2108121299MaRDI QIDQ3087800

Mark Brown, Erol A. Peköz, Sheldon M. Ross

Publication date: 17 August 2011

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964810000136

zbMATH Keywords

random walkfirst hitting timelast hitting time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (8)

Gambler’s Ruin: The Duration of Play ⋮ Harmonic functions for singular quadrant walks ⋮ DES AND RES PROCESSES AND THEIR EXPLICIT SOLUTIONS ⋮ Scaling limit of a limit order book model via the regenerative characterization of Lévy trees ⋮ Parking on a random rooted plane tree ⋮ Small drift limit theorems for random walks ⋮ First passage problems for upwards skip-free random walks via the scale functions paradigm ⋮ Parking on a Random Tree

Cites Work

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• General branching processes conditioned on extinction are still branching processes
• CONDITIONED MARKOV PROCESSES
• Finite Markov chain models skip-free in one direction
• Identifying Coefficients in the Spectral Representation for First Passage Time Distributions
• Introduction to Matrix Analytic Methods in Stochastic Modeling

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