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The maximum and time to absorption of a left-continuous random walk

Published online by Cambridge University Press:  14 July 2016

P. J. Green*
Affiliation:
University of Bath

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.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1976 

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