Random walks with negative drift conditioned to stay positive
- 1 December 1974
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 11 (4) , 742-751
- https://doi.org/10.2307/3212557
Abstract
Let {Xk: k ≥ 1} be a sequence of independent, identically distributed random variables with $EX_{1} = \mu < 0$. Form the random walk {Sn : n ≥ 0} by setting ...
Keywords
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