Exponential moments of first passage times and related quantities for random walks

DOI10.1214/ECP.V15-1569zbMath1235.60118arXiv1005.5260OpenAlexW2113645625MaRDI QIDQ638212

Matthias Meiners, Aleksander M. Iksanov

Publication date: 9 September 2011

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.5260

zbMATH Keywords

renewal theoryasymptotic behaviourrandom walkfirst passage timeexponential momentsnumber of visitslast exit time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Limit theorems in probability theory (60F99) Renewal theory (60K05)

Related Items (3)

Exponential moments of first passage times and related quantities for Lévy processes ⋮ Moment convergence of first-passage times in renewal theory ⋮ Power and exponential moments of the number of visits and related quantities for perturbed random walks

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