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The ruin problem and cover times of asymmetric random walks and Brownian motions
Published online by Cambridge University Press: 01 July 2016
Abstract
A simple asymmetric random walk on the integers is stopped when its range is of a given length. When and where is it stopped? Analogous questions can be stated for a Brownian motion. Such problems are studied using results for the classical ruin problem, yielding results for the cover time and the range, both for asymmetric random walks and Brownian motion with drift.
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- General Applied Probability
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- Copyright © Applied Probability Trust 2000
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