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:
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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