Wald’s equations, first passage times and moments of ladder variables in Markov random walks

Journal of Applied Probability

Volumn 35, Issue 3, 1998, Pages 566-580

  Der Fuh, Cheng ^a   Leung Lai, Tze ^b  

^a INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

^b STANFORD UNIVERSITY   (United States)

Author keywords

First passage time; Ladder height distribution; Markov random walk; Wald s equations; Wiener Hopf factorization

Indexed keywords

EID: 0040674730     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1032265205     Document Type: Article

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