Renewal theorems and stability for the reflected process
نویسندگان
چکیده
منابع مشابه
Renewal Theorems and Stability for the Reflected Process
Renewal-like results and stability theorems relating to the largetime behaviour of a random walk Sn reflected in its maximum, Rn = max0≤j≤n Sj − Sn, are proved. Mainly, we consider the behaviour of the exit time, τ(r), where τ(r) = min{n ≥ 1 : Rn > r}, r > 0, and the exit position, Rτ(r), as r grows large, with particular reference to the cases when Sn has finite variance and/or finite mean. Th...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2009
ISSN: 0304-4149
DOI: 10.1016/j.spa.2008.06.009