The maximum and time to absorption of a left-continuous random walk
- 1 September 1976
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 13 (3) , 444-454
- https://doi.org/10.2307/3212464
Abstract
For a left-continuous random walk, absorbing at 0, the joint distribution of the maximum and time to absorption is derived. A description of the tails of the distributions and a conditional limit theorem are obtained for the cases where absorption is certain.Keywords
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