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A note on summability of ladder heights and the distributions of ladder epochs for random walks

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  • Uchiyama, Kôhei
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    Abstract

    This paper concerns a recurrent random walk on the real line and obtains a purely analytic result concerning the characteristic function, which is useful for dealing with some problems of probabilistic interest for the walk of infinite variance: it reduces them to the case when the increment variable X takes only values from {...,-2,-1,0,1}. Under the finite expectation of ascending ladder height of the walk, it is shown that given a constant 1 [infinity]) if and only if , where is a de Bruijn [alpha]-conjugate of L and T denotes the first epoch when the walk hits (-[infinity],0]. Analogous results are obtained in the cases [alpha]=1 or 2. The method also provides another derivation of Chow's integrability criterion for the expectation of the ladder height to be finite.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 121 (2011)
    Issue (Month): 9 (September)
    Pages: 1938-1961

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    Handle: RePEc:eee:spapps:v:121:y:2011:i:9:p:1938-1961

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    Related research

    Keywords: Ladder height Ladder epoch Potential function Spitzer's condition;

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    1. Doney, R. A., 1982. "On the exact asymptotic behaviour of the distribution of ladder epochs," Stochastic Processes and their Applications, Elsevier, vol. 12(2), pages 203-214, March.
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