Exponential Moments of First Passage Times and Related Quantities for Random Walks
2010 (English)In: Electronic Communications in Probability, ISSN 1083-589X, Vol. 15, 365-375 p.Article in journal (Refereed) Published
For a zero-delayed random walk on the real line, let tau(x), N(x) and rho(x) denote the first passage time into the interval (x,infinity), the number of visits to the interval (-infinity,x] and the last exit time from (-infinity,x], respectively. In the present paper, we provide ultimate criteria for the finiteness of exponential moments of these quantities. Moreover, whenever these moments are finite, we derive their asymptotic behaviour, as x -> infinity.
Place, publisher, year, edition, pages
2010. Vol. 15, 365-375 p.
first-passage time, last exit time, number of visits, random walk, renewal theory
IdentifiersURN: urn:nbn:se:uu:diva-134550ISI: 000282650000001OAI: oai:DiVA.org:uu-134550DiVA: diva2:372973