A limit theorem for random walks with drift
- 1 November 1967
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 4 (1) , 144-150
- https://doi.org/10.2307/3212307
Abstract
LetXi,i= 1, 2, 3, … be a sequence of independent and identically distributed random variables. Writeand forx≧ 0 define M(x) + 1 is then the first passage time out of the interval (– ∞,x] for the random walk processSn.Keywords
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