Exit times for a class of random walks exact distribution results

Martin Jacobsen

Type: Article

Publication Date: 2011-08-01

Citations: 2

DOI: https://doi.org/10.1017/s0021900200099125

Abstract

For a random walk with both downward and upward jumps (increments), the joint distribution of the exit time across a given level and the undershoot or overshoot at crossing is determined through its generating function, when assuming that the distribution of the jump in the direction making the exit possible has a Laplace transform which is a rational function. The expected exit time is also determined and the paper concludes with exact distribution results concerning exits from bounded intervals. The proofs use simple martingale techniques together with some classical expansions of polynomials and Rouché's theorem from complex function theory.

Locations

Journal of Applied Probability - View - PDF

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