Exit times for a class of random walks exact distribution results

DOI10.1239/jap/1318940455zbMath1235.60046OpenAlexW2022470620MaRDI QIDQ3094473

Martin Jacobsen

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1318940455

zbMATH Keywords

overshootmean exit timetwo-sided exitpartial eigenfunctionone-sided exit

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

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