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

Applied Probability Trust
Publication Type:
Journal Article
Journal Of Applied Probability, 1976, 13 (3), pp. 444 - 454
Issue Date:
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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.
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