Document Zbl 1307.60054

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A note on the times of first passage for ‘nearly right-continuous’ random walks. (English) Zbl 1307.60054

Electron. Commun. Probab. 19, Paper No. 75, 7 p. (2014).

Summary: A natural extension of a right-continuous integer-valued random walk is one which can jump to the right by one or two units. First passage times above a given fixed level then admit – on each of the two events, which correspond to overshoot zero and one, separately – a tractable probability generating function. Some applications are considered.

Cited in 1 Document

MSC:

60G50

Sums of independent random variables; random walks

Keywords:

random walks; first entrance/passage times; fluctuation theory

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